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Spatial dependence in stock returns : local normalization and VaR forecasts
Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - In: Empirical economics : a journal of the Institute for … 50 (2016) 3, pp. 1091-1109
Persistent link: https://www.econbiz.de/10011481381
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Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 8 (2018) 2, pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
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Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
Goncalves, Silvia; Kilian, Lutz - In: Econometric Reviews 26 (2007) 6, pp. 609-641
The main contribution of this paper is a proof of the asymptotic validity of the application of the bootstrap to AR(∞) processes with unmodelled conditional heteroskedasticity. We first derive the asymptotic properties of the least-squares estimator of the autoregressive sieve parameters when...
Persistent link: https://www.econbiz.de/10005511987
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Consistency of the model order change-point estimator for GARCH models
Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 8 (2018) 2, pp. 266-282
Persistent link: https://www.econbiz.de/10011874721
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Time series econometrics : learning through replication
Levendis, John D. - 2018
Persistent link: https://www.econbiz.de/10011897703
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Time Series Econometrics : Learning Through Replication
Levendis, John D. - 2023 - 2nd ed. 2023.
-stationarity and ARIMA(p,d,q) processes -- Seasonal ARMA(p,q) processe -- Unit root tests -- Structural Breaks -- ARCH, GARCH and Time …
Persistent link: https://www.econbiz.de/10014443465
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Time Series Econometrics : Learning Through Replication
Levendis, John D. - 2018 - Corrected publication 2021
-- Chapter 4: Unit Root and Stationarity Tests -- Chapter 5: Structural Breaks and Non-Stationairty -- Chapter 6: ARCH, GARCH and …
Persistent link: https://www.econbiz.de/10012397044
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Time Series Econometrics
Neusser, Klaus - 2025 - 2nd ed. 2025.
conditional heteroskedastic (GARCH) models. The second part of the text is devoted to multivariate processes, such as vector …
Persistent link: https://www.econbiz.de/10015406991
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Periodic gamma autoregressive model : an application to the Brazilian hydroelectric system
Braga, Diogo; Calmon, Wilson - In: RAIRO / Operations research 51 (2017) 2, pp. 469-483
Persistent link: https://www.econbiz.de/10011776764
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Unemployment fluctuations and currency returns in the United Kingdom : Evidence from over one and a half century of data
Bathia, Deven; Demirer, Rıza; Gupta, Rangan; Kotzé, Kevin - In: Journal of multinational financial management 61 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012887858