Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Francisco Blasquez | Siem Jan Koopman | Andre Lucas

Generalized Autoregressive Gamma Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Bruno Feunou

Feasibility Investigation of a Unified Trend-Stationarity Constrained-Autoregressive Test

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Shlomo Zilca

State-Dependent Autoregressive Model for Nonlinear Time Series: Stationarity, Ergodicity and Estimation Methods

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Fabio Gobbi | Sabrina Mulinacci

A Graphical Sufficient Condition for the Stability of First-Order Log-Linear Poisson Generalized Vector Autoregressive Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Trevor Ruiz | Sharmodeep Bhattacharyya | Sarah C. Emerson

Generalized Autoregressive Score Trees and Forests

JOURNAL ARTICLE published 2023 in SSRN Electronic Journal

Authors: Andrew J. Patton | Yasin Simsek

Generalized Autoregressive Dirichlet Multinomial Models: Definition and Stability

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Graham L. Giller

Detecting Changes in GARCH(1,1) Processes Without Assuming Stationarity

JOURNAL ARTICLE published 2024 in SSRN Electronic Journal

Authors: Lajos Horváth | Shixuan Wang

Autoregressive Gamma Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Christian Gourieroux | Joann Jasiak

Generalized Autoregressive Method of Moments

JOURNAL ARTICLE published in SSRN Electronic Journal

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

Convolution Autoregressive Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Umberto Cherubini | Fabio Gobbi | Sabrina Mulinacci

Modeling Longevity and Disability with Generalized Autoregressive Score Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Yang Lu | Pengyu Wei | Mengyi Xu

Maximum Likelihood Estimation for Generalized Autoregressive Score Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Francisco Blasques | Siem Jan Koopman | Andre Lucas

Generalized Autoregressive Score Model with Realized Measures of Volatility

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Zhuo Huang | Tianyi Wang | Xin Zhang

Generalized Autoregressive Method of Moments

JOURNAL ARTICLE published in SSRN Electronic Journal

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

Generalized Autoregressive Score Models in R: The GAS Package

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: David Ardia | Kris Boudt | Leopoldo Catania

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

Empirical Processes for Infinite Variance Autoregressive Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Kilani Ghoudi | Chafik Bouhaddioui