Asymptotic inference of the ARMA model with time-functional variance noises

On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing

On ergodicity of threshold ARMA(m, p, q) models

Inference for the VEC(1) model with a heavy-tailed linear process errors*

Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model

Testing threshold effect in single-index models

Automated Estimation of Heavy-Tailed Vector Error Correction Models

Consistency of global LSE for MA(1) models

LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models

Whittle parameter estimation for vector ARMA models with heavy-tailed noises

Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data

Inference in heavy-tailed vector error correction models

Lasso-based Variable Selection of ARMA Models

Quasi-likelihood estimation of structure-changed threshold double autoregressive models

On brownian motion approximation of compound poisson processes with applications to threshold models

Statistical Inference for Structurally Changed Threshold Autoregressive Models

A note on the LSE of three-regime TAR model with an infinite variance

Tests for tar models VS. star models-a separate family of hypotheses approach

The ZD-GARCH model: a new way to study heteroscedasticity

Goodness-of-fit test for non-linear time series models

Inference for heavy-tailed and multiple-threshold double autoregressive models

Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

Estimation of Change-Points in Linear and Nonlinear Time Series Models

On a Threshold Double Autoregressive Model

Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models

Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises

Asymptotic inference in multiple-threshold double autoregressive models

INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL

LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises

Model-based pricing for financial derivatives

On functional limits of short- and long-memory linear processes with GARCH(1,1) noises

Comment

Comment of "Principal Volatility Component Analysis" by Hu and Tsay

Factor double autoregressive models with application to simultaneous causality testing

Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model

On Conditionally Heteroscedastic AR Models with Thresholds

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

Diagnostic checking for non-stationary ARMA models with an application to financial data

Quasi-maximum exponential likelihood estimators for a double AR(p) model

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

On moving-average models with feedback

On the least squares estimation of multiple-regime threshold autoregressive models

The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models

Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models

On non-stationary threshold autoregressive models

On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models

Score Based Goodness-of-fit Tests for Time Series

Testing for structural change of AR model to threshold AR model

A General Asymptotic Theory for Time-series Models

Estimation in Nonstationary Random Coefficient Autoregressive Models

On Distinguishing between Random Walk and Change in the Mean Alternatives

Asymptotic inference for a nonstationary double AR(1) model

Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations

Residual Empirical Processes for Long and Short Memory Time Series

A Double AR(p) Model: Structure and Estimation

Ergodicity and Invertibility of Threshold Moving-average Models

Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models

Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences

Empirical Likelihood for GARCH Models

Fitting an Error Distribution in Some Heteroscedastic Time Series Models

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications

Mixed Portmanteau Tests for Time-series Models

Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

Testing for a Linear MA Model Against Threshold MA Models

Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.

Estimation and Testing Stationarity for Double-autoregressive Models

Hill's Estimator for the Tail Index of an ARMA Model

Regression Quantiles for Unstable Autoregressive Models

MLE for change-point in ARMA-GARCH models with a changing drift

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors

Asymptotic Theory for a Vector ARMA-GARCH Model

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors

MLE for change-point in ARMA-GARCH models with a changing drift

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models

Recent Theoretical Results for Time Series Models with GARCH Errors

Stationarity and the Existence of Moments of a Family of GARCH Processes

Determining an Optimal Window Size for Modelling Volatility

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models

Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model

On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors

Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models

Testing GARCH versus E-GARCH

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors

On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

A note on the LSE of three-regime TAR model with an infinite variance

Article

Tests for tar models VS. star models-a separate family of hypotheses approach

Article

The ZD-GARCH model: a new way to study heteroscedasticity

Article

Goodness-of-fit test for non-linear time series models

Article

Inference for heavy-tailed and multiple-threshold double autoregressive models

Article

Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

Article

Estimation of Change-Points in Linear and Nonlinear Time Series Models

Article

On a Threshold Double Autoregressive Model

Article

Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models

Book chapter

Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises

Article

Asymptotic inference in multiple-threshold double autoregressive models

Article

INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL

Article

LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises

Article

Model-based pricing for financial derivatives

Article

On functional limits of short- and long-memory linear processes with GARCH(1,1) noises

Article

Comment

Article

Comment of "Principal Volatility Component Analysis" by Hu and Tsay

Article

Factor double autoregressive models with application to simultaneous causality testing

Article

Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model

Article

On Conditionally Heteroscedastic AR Models with Thresholds

Article

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

Article

Diagnostic checking for non-stationary ARMA models with an application to financial data

Article

Quasi-maximum exponential likelihood estimators for a double AR(p) model

Article

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

Article

On moving-average models with feedback

Article

On the least squares estimation of multiple-regime threshold autoregressive models

Article

The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models

Article

Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models

Article

On non-stationary threshold autoregressive models

Article

On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models

Article

Score Based Goodness-of-fit Tests for Time Series

Article

Testing for structural change of AR model to threshold AR model

Article

A General Asymptotic Theory for Time-series Models

Article

Estimation in Nonstationary Random Coefficient Autoregressive Models

Article

On Distinguishing between Random Walk and Change in the Mean Alternatives

Article

Asymptotic inference for a nonstationary double AR(1) model

Article

Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations

Article

Residual Empirical Processes for Long and Short Memory Time Series

Article

A Double AR(p) Model: Structure and Estimation

Article

Ergodicity and Invertibility of Threshold Moving-average Models

Article

Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models

Article

Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences

Article

Empirical Likelihood for GARCH Models

Article

Fitting an Error Distribution in Some Heteroscedastic Time Series Models

Article

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications

Article

Mixed Portmanteau Tests for Time-series Models

Article

Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

Article

Testing for a Linear MA Model Against Threshold MA Models

Article

Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.

Book chapter

Estimation and Testing Stationarity for Double-autoregressive Models

Article

Hill's Estimator for the Tail Index of an ARMA Model

Article

Regression Quantiles for Unstable Autoregressive Models

Article

MLE for change-point in ARMA-GARCH models with a changing drift

Conference paper

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

Article

Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors

Article

Asymptotic Theory for a Vector ARMA-GARCH Model

Article

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

Article

On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors

Article

MLE for change-point in ARMA-GARCH models with a changing drift

Conference paper

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models

Article

Recent Theoretical Results for Time Series Models with GARCH Errors

Article

Stationarity and the Existence of Moments of a Family of GARCH Processes

Article

Determining an Optimal Window Size for Modelling Volatility

Book chapter

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models

Article

Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity

Article

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model

Article

On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models

Article

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors

Article

Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models

Article

Testing GARCH versus E-GARCH

Book chapter

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors

Article

On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Article