Dahlhaus, Rainer; Richter, Stefan Adaptation for nonparametric estimators of locally stationary processes. (English) Zbl 07785626 Econom. Theory 39, No. 6, 1123-1153 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{R. Dahlhaus} and \textit{S. Richter}, Econom. Theory 39, No. 6, 1123--1153 (2023; Zbl 07785626) Full Text: DOI arXiv OA License
Meitz, Mika; Saikkonen, Pentti Subgeometrically ergodic autoregressions. (English) Zbl 07622635 Econom. Theory 38, No. 5, 959-985 (2022). MSC: 62P20 PDFBibTeX XMLCite \textit{M. Meitz} and \textit{P. Saikkonen}, Econom. Theory 38, No. 5, 959--985 (2022; Zbl 07622635) Full Text: DOI arXiv
Li, Yu-Ning; Zhang, Yi; Zhang, Caiya Statistical inference for measurement equation selection in the log-RealGARCH model. (English) Zbl 1432.62307 Econom. Theory 35, No. 5, 943-977 (2019). MSC: 62M10 62P20 62J05 PDFBibTeX XMLCite \textit{Y.-N. Li} et al., Econom. Theory 35, No. 5, 943--977 (2019; Zbl 1432.62307) Full Text: DOI
Frazier, David T. A simple iterative Z-estimator for semiparametric models. (English) Zbl 1415.62019 Econom. Theory 35, No. 1, 111-141 (2019). MSC: 62G08 62F12 62M10 62G20 PDFBibTeX XMLCite \textit{D. T. Frazier}, Econom. Theory 35, No. 1, 111--141 (2019; Zbl 1415.62019) Full Text: DOI
Li, Dong; Wu, Wuqing Renorming volatilities in a family of GARCH models. (English) Zbl 1406.62097 Econom. Theory 34, No. 6, 1370-1382 (2018). MSC: 62M10 60J65 PDFBibTeX XMLCite \textit{D. Li} and \textit{W. Wu}, Econom. Theory 34, No. 6, 1370--1382 (2018; Zbl 1406.62097) Full Text: DOI
Lee, Ji Hyung; Liao, Zhipeng On standard inference for GMM with local identification failure of known forms. (English) Zbl 1393.62128 Econom. Theory 34, No. 4, 790-814 (2018). MSC: 62P20 62F12 62P05 PDFBibTeX XMLCite \textit{J. H. Lee} and \textit{Z. Liao}, Econom. Theory 34, No. 4, 790--814 (2018; Zbl 1393.62128) Full Text: DOI
Sancetta, Alessio Estimation for the prediction of point processes with many covariates. (English) Zbl 1390.62048 Econom. Theory 34, No. 3, 598-627 (2018). MSC: 62G05 60G55 62P05 PDFBibTeX XMLCite \textit{A. Sancetta}, Econom. Theory 34, No. 3, 598--627 (2018; Zbl 1390.62048) Full Text: DOI arXiv
Horváth, Lajos; Hušková, Marie; Rice, Gregory; Wang, Jia Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models. (English) Zbl 1441.62741 Econom. Theory 33, No. 2, 366-412 (2017). MSC: 62P20 62M10 62L12 PDFBibTeX XMLCite \textit{L. Horváth} et al., Econom. Theory 33, No. 2, 366--412 (2017; Zbl 1441.62741) Full Text: DOI
Zhang, Rongmao; Ling, Shiqing Asymptotic inference for AR models with heavy-tailed G-GARCH noises. (English) Zbl 1441.62913 Econom. Theory 31, No. 4, 880-890 (2015). MSC: 62P20 62M10 62M09 62F12 62E20 PDFBibTeX XMLCite \textit{R. Zhang} and \textit{S. Ling}, Econom. Theory 31, No. 4, 880--890 (2015; Zbl 1441.62913) Full Text: DOI
Wang, Fangfang; Ghysels, Eric Econometric analysis of volatility component models. (English) Zbl 1441.62242 Econom. Theory 31, No. 2, 362-393 (2015). MSC: 62M10 60G10 62P05 62P20 PDFBibTeX XMLCite \textit{F. Wang} and \textit{E. Ghysels}, Econom. Theory 31, No. 2, 362--393 (2015; Zbl 1441.62242) Full Text: DOI
Chan, Nigel; Wang, Qiying Uniform convergence for nonparametric estimators with nonstationary data. (English) Zbl 1314.62200 Econom. Theory 30, No. 5, 1110-1133 (2014). MSC: 62M10 62G05 62G20 62J02 91B84 PDFBibTeX XMLCite \textit{N. Chan} and \textit{Q. Wang}, Econom. Theory 30, No. 5, 1110--1133 (2014; Zbl 1314.62200) Full Text: DOI
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron A functional version of the ARCH model. (English) Zbl 1271.62204 Econom. Theory 29, No. 2, 267-288 (2013). MSC: 62M10 62P05 91G70 PDFBibTeX XMLCite \textit{S. Hörmann} et al., Econom. Theory 29, No. 2, 267--288 (2013; Zbl 1271.62204) Full Text: DOI arXiv
Wang, Qiying; Wang, Ying Xiang Rachel Nonparametric cointegrating regression with NNH errors. (English) Zbl 1316.62054 Econom. Theory 29, No. 1, 1-27 (2013). MSC: 62G08 62M10 PDFBibTeX XMLCite \textit{Q. Wang} and \textit{Y. X. R. Wang}, Econom. Theory 29, No. 1, 1--27 (2013; Zbl 1316.62054) Full Text: DOI
Francq, Christian; Zakoïan, Jean-Michel QML estimation of a class of multivariate asymmetric GARCH models. (English) Zbl 1234.62120 Econom. Theory 28, No. 1, 179-206 (2012). MSC: 62M10 62H12 62F12 60G10 65C05 62G20 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, Econom. Theory 28, No. 1, 179--206 (2012; Zbl 1234.62120) Full Text: DOI
Meitz, Mika; Saikkonen, Pentti Parameter estimation in nonlinear AR-GARCH models. (English) Zbl 1228.62112 Econom. Theory 27, No. 6, 1236-1278 (2011). MSC: 62M10 62F12 PDFBibTeX XMLCite \textit{M. Meitz} and \textit{P. Saikkonen}, Econom. Theory 27, No. 6, 1236--1278 (2011; Zbl 1228.62112) Full Text: DOI
Shao, Xiaofeng Testing for white noise under unknown dependence and its applications to diagnostic checking for time series models. (English) Zbl 1210.62125 Econom. Theory 27, No. 2, 312-343 (2011). MSC: 62M10 62F03 62E20 62M07 PDFBibTeX XMLCite \textit{X. Shao}, Econom. Theory 27, No. 2, 312--343 (2011; Zbl 1210.62125) Full Text: DOI arXiv
Seo, Myung Hwan Estimation of nonlinear error correction models. (English) Zbl 1210.62124 Econom. Theory 27, No. 2, 201-234 (2011). MSC: 62M10 62H12 62J02 62P20 62F12 62E20 65C05 PDFBibTeX XMLCite \textit{M. H. Seo}, Econom. Theory 27, No. 2, 201--234 (2011; Zbl 1210.62124) Full Text: DOI
Francq, Christian; Horvath, Lajos; Zakoïan, Jean-Michel Sup-tests for linearity in a general nonlinear AR(1) model. (English) Zbl 1294.62200 Econom. Theory 26, No. 4, 965-993 (2010). MSC: 62M10 62M07 62J02 60F17 60G70 PDFBibTeX XMLCite \textit{C. Francq} et al., Econom. Theory 26, No. 4, 965--993 (2010; Zbl 1294.62200) Full Text: DOI
Conrad, Christian; Karanasos, Menelaos Negative volatility spillovers in the unrestricted ECCC-GARCH model. (English) Zbl 1195.91177 Econom. Theory 26, No. 3, 838-862 (2010). MSC: 91G70 62P05 62M10 PDFBibTeX XMLCite \textit{C. Conrad} and \textit{M. Karanasos}, Econom. Theory 26, No. 3, 838--862 (2010; Zbl 1195.91177) Full Text: DOI
Escanciano, J. Carlos Asymptotic distribution-free diagnostic tests for heteroskedastic time series models. (English) Zbl 1191.62085 Econom. Theory 26, No. 3, 744-773 (2010). MSC: 62G10 62E20 62M10 91G70 65C05 62P05 PDFBibTeX XMLCite \textit{J. C. Escanciano}, Econom. Theory 26, No. 3, 744--773 (2010; Zbl 1191.62085) Full Text: DOI
Medeiros, Marcelo C.; Veiga, Alvaro Modeling multiple regimes in financial volatility with a flexible coefficient GARCH(1,1) model. (English) Zbl 1231.62162 Econom. Theory 25, No. 1, 117-161 (2009). MSC: 62M10 62P05 62G05 91G70 65C05 PDFBibTeX XMLCite \textit{M. C. Medeiros} and \textit{A. Veiga}, Econom. Theory 25, No. 1, 117--161 (2009; Zbl 1231.62162) Full Text: DOI
Gao, Jiti; King, Maxwell; Lu, Zudi; Tjøstheim, Dag Nonparametric specification testing for nonlinear time series with nonstationarity. (English) Zbl 1179.62055 Econom. Theory 25, No. 6, 1869-1892 (2009). MSC: 62G08 62M10 62G10 62E20 PDFBibTeX XMLCite \textit{J. Gao} et al., Econom. Theory 25, No. 6, 1869--1892 (2009; Zbl 1179.62055) Full Text: DOI
Ibragimov, Rustam Copula-based characterizations for higher order Markov processes. (English) Zbl 1277.60123 Econom. Theory 25, No. 3, 819-846 (2009). MSC: 60J25 62H05 62M10 PDFBibTeX XMLCite \textit{R. Ibragimov}, Econom. Theory 25, No. 3, 819--846 (2009; Zbl 1277.60123) Full Text: DOI
Sandberg, Rickard Convergence to stochastic power integrals for dependent heterogeneous processes. (English) Zbl 1277.60063 Econom. Theory 25, No. 3, 739-747 (2009). MSC: 60F99 60H05 62M07 PDFBibTeX XMLCite \textit{R. Sandberg}, Econom. Theory 25, No. 3, 739--747 (2009; Zbl 1277.60063) Full Text: DOI
Halunga, Andreea G.; Orme, Chris D. First-order asymptotic theory for parametric misspecification tests of GARCH models. (English) Zbl 1279.62184 Econom. Theory 25, No. 2, 364-410 (2009). MSC: 62M10 62E20 62H15 PDFBibTeX XMLCite \textit{A. G. Halunga} and \textit{C. D. Orme}, Econom. Theory 25, No. 2, 364--410 (2009; Zbl 1279.62184) Full Text: DOI
Cai, Zongwu; Li, Qi Nonparametric estimation of varying coefficient dynamic panel data models. (English) Zbl 1284.62209 Econom. Theory 24, No. 5, 1321-1342 (2008). MSC: 62G05 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{Q. Li}, Econom. Theory 24, No. 5, 1321--1342 (2008; Zbl 1284.62209) Full Text: DOI
Meitz, Mika; Saikkonen, Pentti Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models. (English) Zbl 1284.62566 Econom. Theory 24, No. 5, 1291-1320 (2008). MSC: 62M10 PDFBibTeX XMLCite \textit{M. Meitz} and \textit{P. Saikkonen}, Econom. Theory 24, No. 5, 1291--1320 (2008; Zbl 1284.62566) Full Text: DOI
Chen, Xiaohong; Fan, Yanqin A model selection test for bivariate failure-time data. (English) Zbl 1237.62137 Econom. Theory 23, No. 3, 414-439 (2007). MSC: 62N05 62H05 62N02 62N03 65C60 PDFBibTeX XMLCite \textit{X. Chen} and \textit{Y. Fan}, Econom. Theory 23, No. 3, 414--439 (2007; Zbl 1237.62137) Full Text: DOI
Kristensen, Dennis; Linton, Oliver A closed-form estimator for the GARCH(1,1) model. (English) Zbl 1138.62050 Econom. Theory 22, No. 2, 323-337 (2006). MSC: 62M10 62F12 65C60 PDFBibTeX XMLCite \textit{D. Kristensen} and \textit{O. Linton}, Econom. Theory 22, No. 2, 323--337 (2006; Zbl 1138.62050) Full Text: DOI
Gourieroux, Christian; Robert, Christian Y. Stochastic unit root models. (English) Zbl 1170.62358 Econom. Theory 22, No. 6, 1052-1090 (2006). MSC: 62M10 60G50 PDFBibTeX XMLCite \textit{C. Gourieroux} and \textit{C. Y. Robert}, Econom. Theory 22, No. 6, 1052--1090 (2006; Zbl 1170.62358) Full Text: DOI
Meitz, Mika A necessary and sufficient condition for the strict stationary of a family of GARCH processes. (English) Zbl 1125.62106 Econom. Theory 22, No. 5, 985-988 (2006). MSC: 62M10 PDFBibTeX XMLCite \textit{M. Meitz}, Econom. Theory 22, No. 5, 985--988 (2006; Zbl 1125.62106) Full Text: DOI
Liu, Jichun On the tail behaviors of a family of GARCH processes. (English) Zbl 1100.62087 Econom. Theory 22, No. 5, 852-862 (2006). MSC: 62M10 60G10 62G32 PDFBibTeX XMLCite \textit{J. Liu}, Econom. Theory 22, No. 5, 852--862 (2006; Zbl 1100.62087) Full Text: DOI
Francq, Christian; Zakoïan, Jean-Michel Mixing properties of a general class of \(\text{GARCH}(1,1)\) models without moment assumptions on the observed process. (English) Zbl 1100.62083 Econom. Theory 22, No. 5, 815-834 (2006). MSC: 62M10 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, Econom. Theory 22, No. 5, 815--834 (2006; Zbl 1100.62083) Full Text: DOI
He, Changli; Teräsvirta, Timo An extended constant conditional correlation GARCH model and its fourth-moment structure. (English) Zbl 1071.62077 Econom. Theory 20, No. 5, 904-926 (2004). MSC: 62M10 62P05 91B84 PDFBibTeX XMLCite \textit{C. He} and \textit{T. Teräsvirta}, Econom. Theory 20, No. 5, 904--926 (2004; Zbl 1071.62077) Full Text: DOI
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr Sequential change-point detection in \(\text{GARCH}(p,q)\) models. (English) Zbl 1069.62058 Econom. Theory 20, No. 6, 1140-1167 (2004). MSC: 62L10 62M10 PDFBibTeX XMLCite \textit{I. Berkes} et al., Econom. Theory 20, No. 6, 1140--1167 (2004; Zbl 1069.62058) Full Text: DOI
Nze, Patrick Ango; Doukhan, Paul Weak dependence: models and applications to econometrics. (English) Zbl 1069.62070 Econom. Theory 20, No. 6, 995-1045 (2004). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{P. A. Nze} and \textit{P. Doukhan}, Econom. Theory 20, No. 6, 995--1045 (2004; Zbl 1069.62070) Full Text: DOI
Feng, Yuanhua Simultaneously modeling conditional heteroskedasticity and scale change. (English) Zbl 1061.62133 Econom. Theory 20, No. 3, 563-596 (2004). MSC: 62M10 62G05 62G20 62P05 62G08 PDFBibTeX XMLCite \textit{Y. Feng}, Econom. Theory 20, No. 3, 563--596 (2004; Zbl 1061.62133) Full Text: DOI
Hong, Yongmiao; Lee, Tae-Hwy Diagnostic checking for the adequacy of nonlinear time series models. (English) Zbl 1441.62737 Econom. Theory 19, No. 6, 1065-1121 (2003). MSC: 62P20 62M10 62P05 PDFBibTeX XMLCite \textit{Y. Hong} and \textit{T.-H. Lee}, Econom. Theory 19, No. 6, 1065--1121 (2003; Zbl 1441.62737) Full Text: DOI