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A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE 0 0 0 0 0 0 3 3
A New Class of Robust Observation-Driven Models 0 0 0 51 0 0 13 65
A Tour in the Asymptotic Theory of GARCH Estimation 0 0 0 205 0 1 6 321
A Tour in the Asymptotic Theory of GARCH Estimation 0 0 0 0 1 1 2 2
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 0 0 0 2 2
A model for the Am (Km) planetary geomagnetic activity index and application to prediction 0 0 0 0 0 0 0 0
Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models 0 0 0 15 0 0 11 43
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models 0 0 0 0 0 0 3 3
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 0 0 0 1 2 2
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 1 87 0 2 15 187
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 0 0 0 0 1 1
Arma models with bilinear innovations 0 0 0 0 0 0 2 2
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 0 0 1 2 5 5
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations 0 0 0 0 0 0 1 1
Asymptotic normality of frequency polygons for random fields 0 0 0 0 0 0 1 1
Asymptotic properties of weighted least squares estimation in weak parma models 0 1 3 82 0 1 16 279
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 0 1 10 70
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 5 0 0 5 75
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 1 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 2 15 16
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 1 8 8
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 0 13 187
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 1 1
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 8 9
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 6 0 0 9 56
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 1 7 8
Autocovariance structure of powers of switching-regime ARMA Processes 0 0 0 0 1 1 1 1
Autoregressive conditional betas 0 0 1 1 0 0 10 12
Barlett’s Formula for Non Linear Processes 0 0 0 12 0 1 8 96
Bartlett's formula for a general class of non linear processes 0 0 0 174 0 0 13 613
Bartlett's formula for a general class of nonlinear processes 0 0 0 0 0 2 11 11
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 0 0 0 1 1
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 0 0 0 0 3 3
Can One Really Estimate Nonstationary GARCH Models ? 0 0 1 73 1 1 9 207
Cognitive remediation and professional insertion of people with schizophrenia: RemedRehab, a randomized controlled trial 0 0 0 0 0 1 3 3
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 10 0 0 7 100
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 0 0 0 0 1 1
Combining parametric and nonparametric approaches for more efficient time series prediction 0 0 1 181 0 1 9 310
Comment 0 0 0 0 0 1 3 3
Computing and estimating information matrices of weak ARMA models 0 0 0 0 0 1 5 5
Computing and estimating information matrices of weak arma models 0 0 0 46 0 1 12 158
Concepts and tools for nonlinear time series modelling 0 0 0 298 0 1 20 354
Concepts of and tools for Nonlinear Time-Series Modelling 0 0 0 0 0 0 1 1
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 0 0 0 2 3 3
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 3 65 0 1 15 146
Conditional heteroskedasticity driven by hidden Markov chains 0 0 0 0 0 0 14 187
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 0 0 0 0 0
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 0 1 2 2 2
Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified 0 0 1 91 0 2 10 184
Count and duration time series with equal conditional stochastic and mean orders 0 0 3 85 0 1 22 219
Covariance Matrix Estimation for Estimators of Mixing Wold's Arma 0 0 0 18 1 2 5 69
Covariance matrix estimation for estimators of mixing weak ARMA models 0 0 0 0 0 0 0 0
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 0 0 0 0 0 1 1
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 0 0 0 0 2 2
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 0 1 3 6 6
Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes 0 0 0 7 0 0 6 39
Efficient use of higher-lag autocorrelations for estimating autoregressive processes 0 0 0 6 0 0 14 39
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 1 3 5 5
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns 0 0 1 85 1 2 16 173
Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator 0 0 0 0 0 0 1 1
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 0 0 0 0 2 2
Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero 0 0 1 48 0 0 12 169
Estimating Multivariate Volatility Models Equation by Equation 0 0 0 0 0 0 2 2
Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations 0 0 0 40 0 0 4 73
Estimating Weak Garch Representations 1 1 1 56 1 2 11 138
Estimating dynamic systemic risk measures 0 0 4 109 0 3 30 173
Estimating linear representations of nonlinear processes 0 0 0 0 0 0 4 4
Estimating multivariate GARCH and stochastic correlation models equation by equation 0 0 0 101 0 1 21 180
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 153 1 2 18 383
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 0 1 1 3 3
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 0 0 1 2 2
Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions 0 0 0 108 0 0 10 230
Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles 0 0 0 0 0 0 1 1
Estimation de modèles ARMA à changements de régime récurrents 0 0 0 0 0 0 0 0
Estimation de représentations GARCH faibles 0 0 0 0 1 1 4 4
Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariés 0 0 0 0 0 0 3 3
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 0 0 1 1 3 3
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 0 0 0 0 0 5 5
Finite moments testing in a general class of nonlinear time series models 0 0 0 0 0 2 2 2
Finite moments testing in a general class of nonlinear time series models 0 0 4 7 0 2 27 43
Fourier--type estimation of the power garch model with stable--paretian innovations 0 0 1 80 0 0 19 191
Fourier-type estimation of the power GARCH model with stable-Paretian innovations 0 0 0 0 1 1 3 3
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 0 0 0 0 6 6
Functional GARCH models: the quasi-likelihood approach and its applications 0 0 0 89 0 0 14 168
GARCH Models 0 0 0 0 1 3 6 6
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 0 0 0 0 1 1
Garch models without positivity constraints: exponential or log garch? 0 1 2 135 0 1 13 293
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 0 0 0 0 1 1
HAC estimation and strong linearity testing in weak ARMA models 0 0 0 0 0 0 2 2
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 0 0 0 0 0 0 0 0
Identification of a univariate ARMA model 0 0 0 0 0 0 4 4
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 0 1 2 2 2
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 1 1 1 8 48
Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models 0 0 0 80 0 1 10 184
Inference in GARCH when some coefficients are equal to zero 0 0 2 104 0 0 14 319
Inference in Non Stationary Asymmetric Garch Models 0 0 2 19 0 1 14 70
Inference in non stationary asymmetric garch models 0 0 0 69 0 0 12 138
Inference in nonstationary asymmetric GARCH models 0 0 0 0 0 0 2 2
Inference on Multiplicative Component GARCH without any Small-Order Moment 0 0 1 73 0 1 12 127
Inference on breaks in weak location time series models with quasi-Fisher scores 0 1 3 3 1 3 19 19
Inference on dynamic systemic risk measures 0 0 0 0 0 0 0 0
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 7 35
Joint inference on market and estimation risks in dynamic portfolios 0 0 0 40 0 1 14 144
Kernel regression estimation for random fields 0 0 0 0 1 1 2 2
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 0 0 1 1 1
Large sample properties of parameter least squares estimates for time‐varying arma models 0 0 0 0 0 0 1 1
Linear-Representations Based Estimation of Switching-Regime GARCH Models 0 0 0 20 0 1 9 69
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 0 0 1 4 4
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models 0 0 1 13 0 0 10 41
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models 0 0 0 49 0 1 18 91
Looking for efficient QML estimation of conditional value-at-risk at multiple risk levels 0 0 0 0 0 0 3 3
Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels 0 0 0 33 0 1 12 64
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 0 0 0 0 0 0
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes 0 0 0 0 1 2 3 3
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 0 0 1 3 3
Merits and Drawbacks of Variance Targeting in GARCH Models 0 1 3 15 1 5 26 164
Merits and drawbacks of variance targeting in GARCH models 0 0 3 424 0 4 28 1,394
Mixed difference integer-valued GARCH model for Z-valued time series 0 9 15 15 0 1 3 3
Modèles ARCH avec changement de régime markovien 0 0 0 0 1 2 5 5
Modèles Garch: Structure, inférence statistique et applications financières 0 0 0 0 0 1 3 3
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 21 0 0 5 78
Multi-level Conditional VaR Estimation in Dynamic Models 0 0 0 0 0 0 2 2
Multivariate arma models with generalized autoregressive linear innovation 0 0 0 0 0 0 1 1
Multivariate hypothesis testing using generalized and {2}-inverses – with applications 0 0 0 0 0 0 2 2
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 17 0 0 13 285
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 1 0 0 4 31
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 0 0 0 2 2
Nonparametric estimation of density, regression and dependence coefficients 0 0 0 0 0 0 0 0
On Bartlett’s Formula for Non‐linear Processes 0 0 0 0 0 0 3 3
On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and 0 0 0 0 0 0 0 0
On Efficient Inference in GARCH Processes 0 0 0 0 0 0 2 2
On Runs Tests for Directional Data and Their Local and Asymptotic Optimality Properties 0 0 0 0 1 1 9 9
On White Noises Driven by Hidden Markov Chains 0 0 0 0 0 0 3 3
On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses 0 0 0 70 0 1 18 246
On the Identifiability of Minimal VARMA Representations 0 0 0 0 0 1 2 2
Optimal Predictions of Powers of Conditionally Heteroscedastic Processes 0 0 0 0 0 0 1 1
Optimal Predictions of Powers of Conditionally Heteroskedastic Processes 0 0 1 22 0 1 10 75
Optimal estimating function for weak location‐scale dynamic models 0 0 0 0 0 1 3 3
Optimal predictions of powers of conditionally heteroskedastic processes 0 0 0 164 0 0 11 357
Poisson QMLE of Count Time Series Models 0 0 0 0 0 2 5 5
Poisson qmle of count time series models 0 1 2 125 0 2 10 266
Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models 0 0 0 0 0 1 6 6
Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models 0 0 0 0 0 1 5 5
Portmanteau goodness-of-fit test for asymmetric power GARCH models 1 1 1 98 1 2 13 256
Properties of the QMLE and the Weighted LSE for LARCH(q) Models 0 0 0 5 0 0 3 60
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 0 0 0 0 1 1
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 0 0 0 2 6 6
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process 0 0 3 244 0 2 39 553
Qml inference for volatility models with covariates 0 0 3 211 0 2 10 290
Quasi score-driven models 0 0 0 23 1 1 11 21
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 0 0 0 0 0 0 1 1
Recent Results for Linear Time Series Models with Non Independent Innovations 0 0 0 0 1 1 4 4
Risk-parameter estimation in volatility models 0 1 1 170 0 2 10 358
Risk-parameter estimation in volatility models 0 0 0 0 0 1 2 2
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 0 1 1 2 2
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 0 0 2 6 6
Stationarity and ergodicity of Markov switching positive conditional mean models 0 1 5 122 0 2 19 106
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 0 0 0 1 4 4
Stationarity of Multivariate Markov-Switching ARMA Models 0 1 2 88 0 2 8 515
Stationarity of multivariate Markov–switching ARMA models 0 0 0 0 0 0 3 3
Stationnarité des modèles ARMA à changement de régime markovien 0 0 0 0 0 0 1 1
Stationnarité et identification d'un processus bilinéaire strictement superdiagonal 0 0 0 0 0 1 1 1
Stochastic unit-root bilinear processes 0 0 0 0 0 0 12 214
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 0 0 0 0 2 2
Strict stationarity testing and estimation of explosive ARCH models 0 0 1 171 0 0 12 354
Sup-Tests for Linearity in a General Nonlinear AR(1) Model 0 0 0 11 0 1 11 96
Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space 0 0 1 156 0 1 16 357
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models 0 0 0 0 0 0 0 0
Testing for the footprints of stabilization economic policy in forecast errors 0 0 5 5 0 1 4 4
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 41 0 1 8 131
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 0 0 0 2 2
Testing the existence of moments and estimating the tail index of augmented garch processes 0 0 1 159 0 1 13 116
Testing the existence of moments for GARCH processes 0 0 1 53 0 2 14 79
Testing the existence of moments for GARCH processes 0 0 0 0 0 1 3 3
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons 0 0 1 198 0 2 12 425
Tests for conditional ellipticity in multivariate GARCH models 0 0 0 0 0 0 7 7
Tests for sphericity in multivariate garch models 0 0 1 71 1 2 13 141
The L 2 -structures of standard and switching-regime GARCH models 0 0 0 0 0 1 5 5
The sixth special issue on computational econometrics 0 0 0 0 0 0 1 1
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 1 1 3 3
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 0 0 1 1 2 2
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 0 0 0 0 1 1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 1 75 0 0 16 121
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 0 0 0 6 6
Variance targeting estimation of multivariate GARCH models 0 0 0 87 0 1 6 161
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 1 17 0 1 19 40
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 0 0 1 5 5
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 0 0 23 0 0 11 44
Volatility Estimation When the Zero-Process is Nonstationary 0 0 0 0 0 1 2 2
Total Working Papers 2 19 89 6,009 33 148 1,355 15,246
4 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE 0 0 2 101 0 2 22 330
A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test 0 0 0 71 1 2 13 223
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 0 0 0 21 0 4 14 72
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns 0 0 0 17 0 0 9 88
Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models 0 0 0 16 1 1 9 88
Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations 0 0 0 62 0 0 6 209
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 0 1 15 125
Autoregressive conditional betas 1 2 6 10 1 2 27 41
Bartlett's formula for a general class of nonlinear processes 0 0 0 104 1 3 15 391
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” 0 0 0 8 1 3 6 62
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS 0 0 0 6 1 3 30 51
Combining Nonparametric and Optimal Linear Time Series Predictions 0 0 1 45 0 1 7 128
Comment 0 0 0 2 1 1 5 29
Computing and estimating information matrices of weak ARMA models 0 0 0 8 0 2 10 57
Conditional Heteroskedasticity Driven by Hidden Markov Chains 0 0 1 7 0 1 12 32
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified 0 0 0 5 0 0 8 41
Consistent and asymptotically normal estimators for cyclically time-dependent linear models 0 0 0 14 0 1 8 94
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference 0 1 3 64 1 2 11 195
Diagnostic Checking in ARMA Models With Uncorrelated Errors 0 0 1 144 1 4 11 323
ESTIMATING WEAK GARCH REPRESENTATIONS 0 0 0 50 0 0 11 162
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes 0 0 0 0 0 0 7 10
Estimating multivariate volatility models equation by equation 0 0 3 15 1 1 18 64
Estimating structural VARMA models with uncorrelated but non-independent error terms 0 0 0 22 0 1 13 146
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions 0 0 0 15 0 2 12 62
Estimation of time-varying ARMA models with Markovian changes in regime 0 0 0 80 1 2 10 230
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models 0 1 1 17 1 2 12 69
Functional GARCH models: The quasi-likelihood approach and its applications 0 0 2 12 2 2 20 93
GARCH models without positivity constraints: Exponential or log GARCH? 0 0 2 49 0 0 27 203
Goodness-of-fit tests for Log-GARCH and EGARCH models 0 0 3 16 0 0 11 59
HAC estimation and strong linearity testing in weak ARMA models 0 0 0 45 0 2 16 195
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 0 2 4 5 0 2 17 19
Inconsistency of the MLE and inference based on weighted LS for LARCH models 0 0 0 13 1 1 13 98
Inference on breaks in weak location time series models with the estimating function approach 0 0 0 0 2 3 3 3
Inference on dynamic systemic risk measures 0 0 7 16 0 1 26 45
Intrinsic Liquidity in Conditional Volatility Models 0 1 1 14 0 1 5 57
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS 0 0 0 2 0 0 31 33
Large sample properties of parameter least squares estimates for time‐varying arma models 0 0 0 67 1 2 9 252
Linear‐representation Based Estimation of Stochastic Volatility Models 0 0 0 51 0 0 9 141
Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels 0 1 1 13 0 3 8 67
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS 0 0 1 93 0 1 12 222
Merits and Drawbacks of Variance Targeting in GARCH Models 0 0 0 27 0 1 17 131
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors 0 0 1 130 0 0 10 470
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes 0 0 0 11 0 1 10 80
On Bartlett’s Formula for Non‐linear Processes 0 0 0 1 0 0 6 17
On White Noises Driven by Hidden Markov Chains 0 0 0 1 0 0 7 14
On the Identifiability of Minimal VARMA Representations 0 0 0 16 0 0 13 63
Optimal estimating function for weak location‐scale dynamic models 0 0 1 10 0 1 7 21
Optimal predictions of powers of conditionally heteroscedastic processes 0 0 1 13 0 1 9 65
Poisson QMLE of Count Time Series Models 0 0 0 14 2 2 10 73
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 0 0 1 26 0 0 7 100
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES 0 0 2 13 0 0 10 71
Quasi score-driven models 0 0 3 6 2 3 17 32
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero 1 2 5 30 2 4 24 137
Risk-parameter estimation in volatility models 0 0 0 65 0 0 11 243
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL 0 0 0 20 0 0 2 79
Special Issue on Nonlinear Modelling and Financial Econometrics 0 0 0 30 1 1 11 100
Stationarity and ergodicity of Markov switching positive conditional mean models 0 0 0 4 0 0 8 16
Stationarity of multivariate Markov-switching ARMA models 0 1 3 341 2 4 19 680
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 1 37 0 2 9 199
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* 0 0 0 2 1 1 7 11
Testing for the footprints of stabilization economic policy in forecast errors 0 0 0 0 0 1 6 6
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons 0 0 0 111 0 1 13 300
Testing the existence of moments for GARCH processes 0 0 0 10 0 2 20 41
Tests for conditional ellipticity in multivariate GARCH models 0 0 2 12 0 0 9 98
The L2-structures of standard and switching-regime GARCH models 2 2 2 30 2 2 12 99
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 0 0 12 14
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE 0 0 1 65 0 0 6 190
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models 0 0 0 3 0 2 21 34
Variance Targeting Estimation of Multivariate GARCH Models 0 0 0 18 0 0 13 110
Virtual Historical Simulation for estimating the conditional VaR of large portfolios 0 1 1 8 0 1 15 58
Volatility Estimation When the Zero-Process is Nonstationary 0 0 0 11 1 4 6 33
Total Journal Articles 4 14 64 2,382 31 93 875 8,394

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Tour in the Asymptotic Theory of GARCH Estimation 0 0 0 0 0 0 5 5
On Diagnostic Checking Time Series Models with Portmanteau Test Statistics Based on Generalized Inverses and 0 0 0 0 0 0 0 0
Portmanteau Tests for Semiparametric Nonlinear Conditionally Heteroscedastic Time Series Models 0 0 0 0 0 1 3 3
Recent Results for Linear Time Series Models with Non Independent Innovations 0 0 0 0 0 0 4 4
Total Chapters 0 0 0 0 0 1 12 12

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