Mixing properties of ARCH and time-varying ARCH processes

10 February 2011

Papers citing "Mixing properties of ARCH and time-varying ARCH processes"

3 / 3 papers shown

Title
Augmented GARCH sequences: Dependence structure and asymptotics Siegfried Hormann 66 39 0 15 May 2008
Normalized least-squares estimation in time-varying ARCH models Piotr Fryzlewicz T. Sapatinas S. Subba Rao 82 73 0 04 Apr 2008
Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes R. Dahlhaus W. Polonik 137 87 0 01 Aug 2007