WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS

By P. A. Nze, Paul Doukhan. Econometric Theory, 2004

105 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e6e79c561900dc7539e1d0abd32b027fc4098a3d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. Lajos Horv'ath
2. Oliver B. Linton
3. Siegfried Hormann
4. Alexander Aue
5. Matthew Reimherr

In Finance

1. Lajos Horv'ath
2. Alexander Aue
3. Matthew Reimherr
4. Siegfried Hormann
5. Oliver B. Linton
6. Hui Wang
7. Jiazhu Pan
8. Gregory Rice

In Management Science and Operations Research

1. Lajos Horv'ath
2. Alexander Aue
3. Oliver B. Linton
4. Siegfried Hormann
5. Matthew Reimherr
6. Xianyang Zhang
7. Gregory Rice
8. Piotr Kokoszka

Citations in the corpus

• Break detection in the covariance structure of multivariate time series models (2009, background): “Various forms based, for example, on near epoch dependence and mixing conditions are discussed in [19, 43, 45].”
• GARCH Models (2010, unknown): “Other approaches, for instance developed by Ango Nze and Doukhan (2004) and Hörmann (2008), aim to establish probability properties (different from mixing) of GARCH-type sequences, which can be used to establish central limit theorems.”
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (2009, background): “Interestingly, moment inequalities for nonnegative adapted sequences and martingales with bounded conditional moments have the same form as under independence (see also the discussion in Sects B.3 and B.4 in Nze and Doukhan, 2004).”