A light‐tailed conditionally heteroscedastic model with applications to river flows
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DOI: 10.1111/j.1467-9892.2007.00542.x
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References listed on IDEAS
- Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(5), pages 946-961, October.
- Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June.
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- Pál Rakonczai & László Márkus & András Zempléni, 2012. "Autocopulas: Investigating the Interdependence Structure of Stationary Time Series," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 149-167, March.
- Pushpa Dissanayake & Teresa Flock & Johanna Meier & Philipp Sibbertsen, 2021.
"Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights,"
Mathematics, MDPI, vol. 9(21), pages 1-33, November.
- Dissanayake, Pushpa & Flock, Teresa & Meier, Johanna & Sibbertsen, Philipp, 2021. "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Hannover Economic Papers (HEP) dp-690, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Y. Liu & B. Wang & H. Zhan & Y. Fan & Y. Zha & Y. Hao, 2017. "Simulation of Nonstationary Spring Discharge Using Time Series Models," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 31(15), pages 4875-4890, December.
- Elek, Péter & Márkus, László, 2010. "Tail behaviour of [beta]-TARCH models," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1758-1763, December.
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