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Normalized least-squares estimation in time-varying ARCH models

Normalized least-squares estimation in time-varying ARCH models

4 April 2008
Piotr Fryzlewicz
T. Sapatinas
S. Subba Rao
ArXiv (abs)PDFHTML

Papers citing "Normalized least-squares estimation in time-varying ARCH models"

21 / 21 papers shown
Bounds in Wasserstein Distance for Locally Stationary Functional Time Series
Bounds in Wasserstein Distance for Locally Stationary Functional Time Series
Jan Nino G. Tinio
Mokhtar Z. Alaya
Salim Bouzebda
351
1
0
08 Apr 2025
Inference for Non-Stationary Heavy Tailed Time Series
Inference for Non-Stationary Heavy Tailed Time Series
Fumiya Akashi
K. Fokianos
Junichi Hirukawa
306
0
0
21 Dec 2022
On the estimation of locally stationary functional time series
On the estimation of locally stationary functional time series
Daisuke Kurisu
488
6
0
25 May 2021
Nonparametric regression for locally stationary functional time series
Nonparametric regression for locally stationary functional time seriesElectronic Journal of Statistics (EJS), 2021
Daisuke Kurisu
613
13
0
17 May 2021
Long-term prediction intervals with many covariates
Long-term prediction intervals with many covariatesJournal of Time Series Analysis (JTSA), 2020
Sayar Karmakar
M. Chudý
Wei Biao Wu
AI4TS
182
9
0
15 Dec 2020
Simultaneous inference for time-varying models
Simultaneous inference for time-varying modelsJournal of Econometrics (J. Econometrics), 2020
Sayar Karmakar
S. Richter
Wei Biao Wu
291
37
0
26 Nov 2020
Time-varying auto-regressive models for count time-series
Time-varying auto-regressive models for count time-seriesElectronic Journal of Statistics (EJS), 2020
Arkaprava Roy
Sayar Karmakar
210
11
0
13 Sep 2020
Bayesian modelling of time-varying conditional heteroscedasticity
Bayesian modelling of time-varying conditional heteroscedasticityBayesian Analysis (BA), 2020
Sayar Karmakar
Arkaprava Roy
266
14
0
13 Sep 2020
Nonparametric regression for locally stationary random fields under
  stochastic sampling design
Nonparametric regression for locally stationary random fields under stochastic sampling design
Daisuke Kurisu
775
14
0
13 May 2020
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear
  Models
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
Dennis Kristensen
Young Jun Lee
127
3
0
10 Apr 2019
Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary
  Errors
Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
Yeonwoo Rho
Xiaofeng Shao
119
14
0
14 Feb 2018
A perturbation analysis of some Markov chains models with time-varying
  parameters
A perturbation analysis of some Markov chains models with time-varying parameters
Lionel Truquet
245
3
0
10 Jun 2017
Cross validation for locally stationary processes
Cross validation for locally stationary processes
S. Richter
R. Dahlhaus
344
30
0
29 May 2017
Estimation and Model Identification of Locally Stationary
  Varying-Coefficient Additive Models
Estimation and Model Identification of Locally Stationary Varying-Coefficient Additive Models
Lixia Hu
Tao Huang
Jinhong You
150
0
0
01 Dec 2016
Local stationarity and time-inhomogeneous Markov chains
Local stationarity and time-inhomogeneous Markov chainsAnnals of Statistics (Ann. Stat.), 2016
Lionel Truquet
228
27
0
05 Oct 2016
Parameter stability and semiparametric inference in time-varying ARCH
  models
Parameter stability and semiparametric inference in time-varying ARCH models
Lionel Truquet
139
5
0
09 Jun 2015
Quantile Spectral Analysis for Locally Stationary Time Series
Quantile Spectral Analysis for Locally Stationary Time Series
Stefan Birr
S. Volgushev
Tobias Kley
Holger Dette
Marc Hallin
489
47
0
17 Apr 2014
Nonparametric regression for locally stationary time series
Nonparametric regression for locally stationary time series
M. Vogt
AI4TS
240
175
0
18 Feb 2013
Locally Stationary Processes
Locally Stationary Processes
R. Dahlhaus
383
219
0
19 Sep 2011
Mixing properties of ARCH and time-varying ARCH processes
Mixing properties of ARCH and time-varying ARCH processes
Piotr Fryzlewicz
S. Subba Rao
224
51
0
10 Feb 2011
Locally stationary long memory estimation
Locally stationary long memory estimation
François Roueff
R. Sachs
222
145
0
29 Jul 2009
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