Generalized Autoregressive Method of Moments

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Drew D. Creal | Siem Jan Koopman | Andre Lucas | Marcin Zamojski

Bridges of Markov counting processes. Reciprocal classes and duality formulas

JOURNAL ARTICLE published 1 January 2015 in Electronic Communications in Probability

Authors: Giovanni Conforti | Christian Léonard | Rüdiger Murr | Sylvie Rœlly

A note on suprema of canonical processes based on random variables with regular moments

JOURNAL ARTICLE published 1 January 2015 in Electronic Journal of Probability

Authors: Rafał Latała | Tomasz Tkocz

An Extension of Cointegration to Fractional Autoregressive Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Soren Johansen

Bi and Branching Strict Nash Networks in Two-Way Flow Models: A Generalized Sufficient Condition

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Banchongsan Charoensook

Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter

JOURNAL ARTICLE published 2023 in SSRN Electronic Journal

Authors: Szabolcs Blazsek | August Jording | Simran Rai

Continuity and strict positivity of the multi-layer extension of the stochastic heat equation

JOURNAL ARTICLE published 1 January 2020 in Electronic Journal of Probability

Authors: Chin Hang Lun | Jon Warren

Empirical Processes for Infinite Variance Autoregressive Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Kilani Ghoudi | Chafik Bouhaddioui

Central limit theorems for generalized descents and generalized inversions in finite root systems

JOURNAL ARTICLE published 1 January 2023 in Electronic Journal of Probability

Authors: Kathrin Meier | Christian Stump

A Generalized Heterogeneous Autoregressive Model using the Market Index

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Rodrigo Hizmeri | Marwan Izzeldin | Ingmar Nolte | Vasileios Pappas

Forecasting Risk Measures Using Intraday Data in a Generalized Autoregressive Score (GAS) Framework

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Emese Lazar | Xiaohan Xue

The Turn-of-The-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Eleftherios Giovanis

On the strict value of the non-linear optimal stopping problem

JOURNAL ARTICLE published 1 January 2020 in Electronic Communications in Probability

Authors: Miryana Grigorova | Peter Imkeller | Youssef Ouknine | Marie-Claire Quenez

Local stability of Kolmogorov forward equations for finite state nonlinear Markov processes

JOURNAL ARTICLE published 1 January 2015 in Electronic Journal of Probability

Authors: Amarjit Budhiraja | Paul Dupuis | Markus Fischer | Kavita Ramanan

On a Multinomial Logistic Mixture Autoregressive Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Musen Wen | Keh-Shin Lii

An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift

JOURNAL ARTICLE published 1 January 2015 in Electronic Journal of Probability

Authors: Alexander Fromm | Peter Imkeller | David Prömel

A Connection between Gaussian Processes and Markov Processes

JOURNAL ARTICLE published 1 January 2005 in Electronic Journal of Probability

Authors: Nathalie Eisenbaum

Optimal Formulations for Nonlinear Autoregressive Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Francisco Blasques | Siem Jan Koopman | Andre Lucas

Basic Properties of Stationary First-Order Autoregressive Processes and Random Walks

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Laszlo Konya

A Robust Goodness-of-Fit Test for Generalized Autoregressive Conditional Heteroscedastic Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Yao Zheng | Wai Keung Li | Guodong Li