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Multivariate rotated ARCH models [PDF]
Journal of Econometrics, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Noureldin, Diaa +2 more
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WHITTLE ESTIMATION OF ARCH MODELS [PDF]
Econometric Theory, 2001 Summary: For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be \(\sqrt n\)-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of \textit{P. Zaffaroni} and \textit{B. d'Italia} [J. Econom. 115, 199--258 (2003; Zbl 1027.
Liudas Giraitis, Peter M. Robinson
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A FUNCTIONAL VERSION OF THE ARCH MODEL [PDF]
Econometric Theory, 2012 Improvements in data acquisition and processing techniques have led to an almost continuous flow of information for financial data. High-resolution tick data are available and can be quite conveniently described by a continuous-time process. It is therefore natural to ask for possible extensions of financial time series models to a functional setup. In
Hörmann, Siegfried +2 more
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Qualitative threshold ARCH models [PDF]
Journal of Econometrics, 1992 The paper deals with the tradeoff between the flexibility of the conditional variance specification in terms of a given past value and the number of lags. A class of dynamic models is considered (QTARCH models) in which both the conditional mean and the conditional variance are symmetrically treated in order to discuss the possible cross-effects or ...
Gourieroux Christian, Monfort Alain
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Dynamic spatiotemporal ARCH models
Spatial Economic Analysis, 2023 Geo-referenced data are characterised by an inherent spatial dependence due to geographical proximity. In this paper, we introduce a dynamic spatiotemporal autoregressive conditional heteroscedasticity (ARCH) process to describe the effects of (i) the log-squared time-lagged outcome variable, the temporal effect, (ii) the spatial lag of the log-squared
Philipp Otto +2 more
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Adaptive testing in arch models [PDF]
Econometric Reviews, 2000 Specification tests for conditional heteroskedasticity that are derived under the assumption that the density of the innovation is Gaussian may not be powerful in light of the recent empirical results that the density is not Gaussian. We obtain specification tests for conditional heteroskedasticity under the assumption that the innovation density is a ...
Oliver Linton, Douglas G. Steigerwald
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A Binomial Integer-Valued ARCH Model [PDF]
The International Journal of Biostatistics, 2015 Abstract We present an integer-valued ARCH model which can be used for modeling time series of counts with under-, equi-, or overdispersion. The introduced model has a conditional binomial distribution, and it is shown to be strictly stationary and ergodic.
Ristić, Miroslav M. +2 more
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A new way of analyzing tooth movement using universal coordinate system geometry single point superposition in a 3D model [PDF]
Dental Press Journal of Orthodontics, 2023 Introduction: Superposing 3D models is an imminent need. However, current methods rely on marking multiple points on the maxilla and mandible, which could increase point marking and overlapping errors. Objective: This study aimed at developing a method
Rodrigo Xavier Silveira de SOUZA +7 more
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Arches: a Framework for Modeling Complex Terrains [PDF]
Computer Graphics Forum, 2009 AbstractIn this paper, we present a framework for representing complex terrains with such features as overhangs, arches and caves and including different materials such as sand and rocks. Our hybrid model combines a volumetric discrete data structure that stores the different materials and an implicit representation for sculpting and reconstructing the
Peytavie, Adrien +3 more
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