Showing 1 - 10 of 110
Persistent link: https://www.econbiz.de/10000958387
Persistent link: https://www.econbiz.de/10000958392
Persistent link: https://www.econbiz.de/10000971355
In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of...
Persistent link: https://www.econbiz.de/10002679532
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...
Persistent link: https://www.econbiz.de/10001600059
Persistent link: https://www.econbiz.de/10000960148
; multivariate volatility model ; random coefficient model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10001714621
Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …
Persistent link: https://www.econbiz.de/10002199620
; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …
Persistent link: https://www.econbiz.de/10002570445
Persistent link: https://www.econbiz.de/10001401660