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Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 229-242

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10012795900

Change‐point detection in the conditional correlation structure of multivariate volatility models

Barassi, Marco R.; Horváth, Lajos; Zhao, Yuqian - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 340-349

Persistent link: https://www.econbiz.de/10012262479

New HEAVY models for fat-tailed realized covariances and returns

Opschoor, Anne; Janus, Paweł; Lucas, André; Dijk, Dick van - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 643-657

Persistent link: https://www.econbiz.de/10012249228

Modeling multivariate volatilities via latent common factors

Li, Weiming; Gao, Jing; Li, Kunpeng; Yao, Qiwei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 564-573

Persistent link: https://www.econbiz.de/10011692411

Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates

Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 528-542

Persistent link: https://www.econbiz.de/10011893733

Max-linear competing factor models

Cui, Qiurong; Zhang, Zhengjun - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 62-74

Persistent link: https://www.econbiz.de/10011894393

Large dynamic covariance matrices

Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 363-375

Persistent link: https://www.econbiz.de/10012178181

A new approach to volatility modeling : the factorial hidden Markov volatility model

Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 696-709

Persistent link: https://www.econbiz.de/10012179366

Conditional extremes in asymmetric financial markets

Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213

Persistent link: https://www.econbiz.de/10012179547

A stochastic volatility model with a general leverage specification

Catania, Leopoldo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 678-689

Persistent link: https://www.econbiz.de/10013534044