A STUDY ON GARCH(p, q) PROCESS |
Lee, Oe-Sook (Department of Statistics Ewha Womans University) |
1 |
On probabilistic properties of nonlinear ARMA(p.q) models
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DOI ScienceOn |
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Stationarity of GARCH processes and of some nonnegative time series
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DOI ScienceOn |
3 |
ARMA models with ARCH errors
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DOI |
4 |
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On a threshold autoregression with conditional heteroskedastic variances
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6 |
On a double threshold autoregressive conditional heterokedastic time series model
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DOI ScienceOn |
7 |
Stationarity and persistence in the GARCH(1,1) model
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DOI |
8 |
Nonlinear time series and Markov chains
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DOI ScienceOn |
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Strict stationarity and functional central limit theorem for ARCH/GARCH model
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과학기술학회마을 DOI ScienceOn |
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Generalized autoregressive conditional heteroskedasticity
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DOI ScienceOn |
11 |
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12 |
A multicative ergodic theorem for Lipschitz maps
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DOI ScienceOn |
13 |
The geometric ergodicity and existence of moments for a class of nonlinear time series model
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DOI ScienceOn |
14 |
A test for conditional heteroscedisticity in time series models
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DOI |
15 |
Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation
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DOI ScienceOn |
16 |
Probabilistic properties of the β-ARCH model
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17 |
A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models
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DOI ScienceOn |
18 |
Limit theorems for Markov processes generated by iterations of random maps
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과학기술학회마을 |
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Asymptotics of a class of Markov processes which are not in general irreducible
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DOI ScienceOn |
20 |
On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
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DOI ScienceOn |
21 |
The mixing property of bilinear and generalised random coefficient autoregressive models
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DOI ScienceOn |
22 |
A Liapounov bound for solutions of the Poisson equation
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DOI ScienceOn |
23 |
A central limit theorem for contractive stochastic dynamical systems
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DOI ScienceOn |
24 |
Convergence in distribution of products of random matrices
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DOI |
25 |
Extremal behavior of the autoregressive process with ARCH(1) errors
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DOI ScienceOn |
26 |
Criteria for rates of convergence of Markov chains with application to queueing theory, in J.F.C. Kingman and G.E.H. Reuter, eds.
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27 |
A note on geometric ergodicity of autoregressive conditional heteroscedasticity(ARCH) model
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DOI ScienceOn |