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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - 2015
Persistent link: https://www.econbiz.de/10011777143
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Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021
Persistent link: https://www.econbiz.de/10012815962
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Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37
This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...
Persistent link: https://www.econbiz.de/10014281494
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Asymmetric business cycle fluctuations in Caribbean economies
Kiani, Khurshid M. - In: International journal of economic perspectives : IJEP 5 (2011) 2, pp. 121-140
Persistent link: https://www.econbiz.de/10011587461
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Parsimonious heterogeneous ARCH models for high frequency modeling
Teran, Juan Carlos Ruilova; Morettin, Pedro Alberto - In: Journal of risk and financial management : JRFM 13 (2020) 2/38, pp. 1-19
heterogeneous information present in the financial market and the long memory of volatility. Some theoretical properties of this …
Persistent link: https://www.econbiz.de/10012173694
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First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
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Modeling autoregressive processes with moving-quantiles-implied nonlinearity
Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54
daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …
Persistent link: https://www.econbiz.de/10010478989
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A Metropolis-in-Gibbs sampler for estimating equity market factors
Tsiaplias, Sarantis - 2007
Persistent link: https://www.econbiz.de/10003489507
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Model Averaging Estimation for Conditional Volatility Models
Liu, Qingfeng - 2018
This paper is concerned with the model averaging estimation for the conditional volatility model family. We propose a … model averaging estimator for the conditional volatility under a framework of zero conditional mean and construct the … divergence as well as the Itakura-Saito distance. The forecast of the conditional volatility is also constructed under the model …
Persistent link: https://www.econbiz.de/10012908198
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Canadian stock market volatility under COVID-19
Xu, Dinghai - 2020
Persistent link: https://www.econbiz.de/10012211693