Vasiliev, Vyacheslav A. A truncated estimation method with guaranteed accuracy. (English) Zbl 1281.62209 Ann. Inst. Stat. Math. 66, No. 1, 141-163 (2014). MSC: 62M10 62G08 62H12 62M05 62G07 62F12 PDF BibTeX XML Cite \textit{V. A. Vasiliev}, Ann. Inst. Stat. Math. 66, No. 1, 141--163 (2014; Zbl 1281.62209) Full Text: DOI
Lounis, Tewfik Asymptotically optimal tests when parameters are estimated. (English) Zbl 1307.62049 Albanian J. Math. 5, No. 4, 193-214 (2011). MSC: 62F05 62F12 62H15 62M10 PDF BibTeX XML Cite \textit{T. Lounis}, Albanian J. Math. 5, No. 4, 193--214 (2011; Zbl 1307.62049) Full Text: Link
Cheong, Chin Wen Univariate and multivariate value-at-risk: application and implication in energy markets. (English) Zbl 1219.62183 Commun. Stat., Simulation Comput. 40, No. 7, 957-977 (2011). MSC: 62P20 90C90 91B26 62P05 91G10 91G70 PDF BibTeX XML Cite \textit{C. W. Cheong}, Commun. Stat., Simulation Comput. 40, No. 7, 957--977 (2011; Zbl 1219.62183) Full Text: DOI
Stockis, Jean-Pierre; Franke, Jürgen; Kamgaing, Joseph Tadjuidje On geometric ergodicity of CHARME models. (English) Zbl 1223.62151 J. Time Ser. Anal. 31, No. 3, 141-152 (2010). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62M10 62G08 62M45 62G20 62H12 PDF BibTeX XML Cite \textit{J.-P. Stockis} et al., J. Time Ser. Anal. 31, No. 3, 141--152 (2010; Zbl 1223.62151) Full Text: DOI
Resnick, Sidney I. Heavy-tail phenomena. Probabilistic and statistical modeling. (English) Zbl 1152.62029 Springer Series in Operations Research and Financial Engineering. New York, NY: Springer (ISBN 0-387-24272-4/hbk). xix, 404 p. (2007). Reviewer: Yuehua Wu (Toronto) MSC: 62G32 62-02 62Pxx 62-01 PDF BibTeX XML Cite \textit{S. I. Resnick}, Heavy-tail phenomena. Probabilistic and statistical modeling. New York, NY: Springer (2007; Zbl 1152.62029) Full Text: DOI
Lütkepohl, Helmut New introduction to multiple time series analysis. (English) Zbl 1072.62075 Berlin: Springer (ISBN 3-540-40172-5/hbk). xxi, 764 p. (2005). Reviewer: Tomáš Cipra (Praha) MSC: 62M10 62-01 62M20 91B84 PDF BibTeX XML Cite \textit{H. Lütkepohl}, New introduction to multiple time series analysis. Berlin: Springer (2005; Zbl 1072.62075)
Duchesne, Pierre On matricial measures of dependence in vector ARCH models with applications to diagnostic checking. (English) Zbl 1058.62071 Stat. Probab. Lett. 68, No. 2, 149-160 (2004). MSC: 62M10 62E20 62F35 PDF BibTeX XML Cite \textit{P. Duchesne}, Stat. Probab. Lett. 68, No. 2, 149--160 (2004; Zbl 1058.62071) Full Text: DOI
Wong, H.; Li, W. K. Detecting and diagnostic checking multivariate conditional heteroscedastic time series models. (English) Zbl 0991.62037 Ann. Inst. Stat. Math. 54, No. 1, 45-59 (2002). MSC: 62H15 62M10 PDF BibTeX XML Cite \textit{H. Wong} and \textit{W. K. Li}, Ann. Inst. Stat. Math. 54, No. 1, 45--59 (2002; Zbl 0991.62037) Full Text: DOI
Polasek, W.; Momtchil, M. Portfolio construction with Bayesian GARCH forecasts. (English) Zbl 1022.91030 Fleischmann, Bernhard (ed.) et al., Operations research proceedings 2000. Selected papers of the symposium, OR 2000, Dresden, Germany, September 9-12, 2000. Berlin: Springer. 119-126 (2001). MSC: 91G10 PDF BibTeX XML Cite \textit{W. Polasek} and \textit{M. Momtchil}, in: Operations research proceedings 2000. Selected papers of the symposium, OR 2000, Dresden, Germany, September 9--12, 2000. Berlin: Springer. 119--126 (2001; Zbl 1022.91030)
Sentana, Enrique The relation between conditionally heteroskedastic factor models and factor GARCH models. (English) Zbl 1041.91037 Econom. J. 1, No. 2, 1-9 (1998). MSC: 91G70 91B84 PDF BibTeX XML Cite \textit{E. Sentana}, Econom. J. 1, No. 2, 1--9 (1998; Zbl 1041.91037) Full Text: DOI
Wong, H.; Li, W. K. Diagnostic checking multivariate conditional heteroscedasticity. (English) Zbl 0912.62100 1995 Proceedings of the Business and Economic Statistics Section. Annual meeting of the American Statistical Association (ASA), Orlando, FL, USA, August 13–17, 1995, and the ASA 1995 Winter conference, Raleigh, NC, USA, January 5–8, 1995. Alexandria, VA: ASA, American Statistical Association. 139-144 (1996). MSC: 62M10 62J20 PDF BibTeX XML Cite \textit{H. Wong} and \textit{W. K. Li}, in: 1995 Proceedings of the Business and Economic Statistics Section. Annual meeting of the American Statistical Association (ASA), Orlando, FL, USA, August 13--17, 1995, and the ASA 1995 Winter conference, Raleigh, NC, USA, January 5--8, 1995. Alexandria, VA: ASA, American Statistical Association. 139--144 (1996; Zbl 0912.62100)
Chatfield, C. The analysis of time series. An introduction. 5th ed. (English) Zbl 0870.62068 Chapman & Hall/CRC Texts in Statistical Science Series. London: Chapman & Hall (ISBN 0-412-71640-2/pbk). xii, 283 p. (1996). MSC: 62M10 62-01 62M15 62M20 PDF BibTeX XML Cite \textit{C. Chatfield}, The analysis of time series. An introduction. 5th ed. London: Chapman \& Hall (1996; Zbl 0870.62068)
Bera, Anil K.; Zuo, Xiao-Lei Specification test for a linear regression model with ARCH process. (English) Zbl 0848.62059 J. Stat. Plann. Inference 50, No. 2, 283-308 (1996). MSC: 62P20 62M10 62J05 62H15 PDF BibTeX XML Cite \textit{A. K. Bera} and \textit{X.-L. Zuo}, J. Stat. Plann. Inference 50, No. 2, 283--308 (1996; Zbl 0848.62059) Full Text: DOI
Nelson, Daniel B. Asymptotic filtering theory for multivariate ARCH models. (English) Zbl 0845.62080 J. Econom. 71, No. 1-2, 1-47 (1996). MSC: 62P20 62M20 PDF BibTeX XML Cite \textit{D. B. Nelson}, J. Econom. 71, No. 1--2, 1--47 (1996; Zbl 0845.62080) Full Text: DOI
Polasek, Wolfgang; Müller, Peter Gibbs sampling for ARCH models in finance. (English) Zbl 0840.62101 Kitsos, Christos P. (ed.) et al., MODA 4 - Advances in model-oriented data analysis. Proceedings of the 4th international workshop in Spetses, Greece, June 5-9, 1995. Heidelberg: Physica-Verlag. Contributions to Statistics. 251-260 (1995). MSC: 62P20 91B84 62F15 91B28 PDF BibTeX XML Cite \textit{W. Polasek} and \textit{P. Müller}, in: MODA 4 - Advances in model-oriented data analysis. Proceedings of the 4th international workshop in Spetses, Greece, June 5-9, 1995. Heidelberg: Physica-Verlag. 251--260 (1995; Zbl 0840.62101)
Mills, Terence C. The econometric modelling of financial time series. Incl. 1 disk. (English) Zbl 0861.62078 Cambridge: Cambridge Univ. Press. viii, 247 p. (1995). Reviewer: H.S.Buscher (Mannheim) MSC: 62P20 91B84 62-02 62M10 91B28 PDF BibTeX XML Cite \textit{T. C. Mills}, The econometric modelling of financial time series. Incl. 1 disk. Cambridge: Cambridge Univ. Press (1995; Zbl 0861.62078)
Bollerslev, Tim; Engle, Robert F. Common persistence in conditional variances. (English) Zbl 0782.62102 Econometrica 61, No. 1, 167-186 (1993). MSC: 62P20 91B84 62M10 PDF BibTeX XML Cite \textit{T. Bollerslev} and \textit{R. F. Engle}, Econometrica 61, No. 1, 167--186 (1993; Zbl 0782.62102) Full Text: DOI
Geweke, John Bayesian inference in econometric models using Monte Carlo integration. (English) Zbl 0683.62068 Econometrica 57, No. 6, 1317-1339 (1989). MSC: 62P20 62F15 65C99 65D30 PDF BibTeX XML Cite \textit{J. Geweke}, Econometrica 57, No. 6, 1317--1339 (1989; Zbl 0683.62068) Full Text: DOI