Carnero, M. Angeles; Pérez, Ana Outliers and misleading leverage effect in asymmetric GARCH-type models. (English) Zbl 07676032 Stud. Nonlinear Dyn. Econom. 25, No. 1, Article ID 20180073, 19 p. (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. A. Carnero} and \textit{A. Pérez}, Stud. Nonlinear Dyn. Econom. 25, No. 1, Article ID 20180073, 19 p. (2021; Zbl 07676032) Full Text: DOI
Spierdijk, Laura Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness. (English) Zbl 1466.62196 Comput. Stat. Data Anal. 100, 545-559 (2016). MSC: 62-08 62P05 62M10 62G15 PDFBibTeX XMLCite \textit{L. Spierdijk}, Comput. Stat. Data Anal. 100, 545--559 (2016; Zbl 1466.62196) Full Text: DOI
Koo, Bonsoo; Linton, Oliver Let’s get LADE: robust estimation of semiparametric multiplicative volatility models. (English) Zbl 1441.62781 Econom. Theory 31, No. 4, 671-702 (2015). MSC: 62P20 62M10 62G05 62G35 62P05 PDFBibTeX XMLCite \textit{B. Koo} and \textit{O. Linton}, Econom. Theory 31, No. 4, 671--702 (2015; Zbl 1441.62781) Full Text: DOI
Jiménez Gamero, M. Dolores On the empirical characteristic function process of the residuals in GARCH models and applications. (English) Zbl 1305.62135 Test 23, No. 2, 409-432 (2014). MSC: 62F40 62M10 60F05 60E05 62P05 PDFBibTeX XMLCite \textit{M. D. Jiménez Gamero}, Test 23, No. 2, 409--432 (2014; Zbl 1305.62135) Full Text: DOI
Klar, Bernhard; Lindner, Franziska; Meintanis, Simos G. Specification tests for the error distribution in GARCH models. (English) Zbl 1255.62259 Comput. Stat. Data Anal. 56, No. 11, 3587-3598 (2012). MSC: 62M10 62G10 62G09 62P05 PDFBibTeX XMLCite \textit{B. Klar} et al., Comput. Stat. Data Anal. 56, No. 11, 3587--3598 (2012; Zbl 1255.62259) Full Text: DOI
Meintanis, Simos G.; Tsionas, Efthimios Testing for the generalized normal-Laplace distribution with applications. (English) Zbl 1284.62132 Comput. Stat. Data Anal. 54, No. 12, 3174-3180 (2010). MSC: 62F03 62-07 PDFBibTeX XMLCite \textit{S. G. Meintanis} and \textit{E. Tsionas}, Comput. Stat. Data Anal. 54, No. 12, 3174--3180 (2010; Zbl 1284.62132) Full Text: DOI
Ghosh, Himadri; Paul, Ranjit Kumar; Prajneshu Nonlinear time series modeling and forecasting for periodic and arch effects. (English) Zbl 1216.62141 J. Stat. Theory Pract. 4, No. 1, 27-44 (2010). MSC: 62M10 62M20 62F03 62F10 65C60 62P12 PDFBibTeX XMLCite \textit{H. Ghosh} et al., J. Stat. Theory Pract. 4, No. 1, 27--44 (2010; Zbl 1216.62141) Full Text: DOI