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Issues of aggregation over time of conditional heteroscedastic volatility models : what kind of diffusion do we recover?
Trifi, Amine (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10003559185
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An ARCH model without intercept
Hafner, Christian M.; Preminger, Arie - In: Economics letters 129 (2015), pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
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Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values
Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10011430513
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On diagnostic checking of vector ARMA-GARCH models with Gaussian and Student-t innovations
Wang, Yongning; Tsay, Ruey S. - In: Econometrics : open access journal 1 (2013) 1, pp. 1-31
This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized...
Persistent link: https://www.econbiz.de/10009754537
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On convergence of the QMLE for misspecified GARCH models
Jensen, Anders Tolver; Lange, Theis - In: Journal of time series econometrics 2 (2010) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10009623323
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On identifying structural VAR models via ARCH effects
Milunovich, George; Yang, Minxian - In: Journal of time series econometrics 5 (2013) 2, pp. 117-131
Persistent link: https://www.econbiz.de/10010225458
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Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
Niu, Wei-fang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 421-438
Persistent link: https://www.econbiz.de/10009787977
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A note on the QMLE limit theory in the non-stationary ARCH(1) model
Arvanitis, Stelios; Louka, Alexandros - In: Journal of time series econometrics 8 (2016) 1, pp. 21-39
Persistent link: https://www.econbiz.de/10011440450
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Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab - In: Journal of mathematical finance 6 (2016) 1, pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - In: Journal of economic surveys 30 (2016) 2, pp. 377-392
Persistent link: https://www.econbiz.de/10011553496