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A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]

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

Testing constancy of the error covariance matrix in vector models

Eklund, Bruno (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. January 18, 2006

-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change …

Persistent link: https://www.econbiz.de/10001924637

The demand for scheduled, intra-European air transportation : comments on a forecast

Östberg, Per-Johan - 1969

Persistent link: https://www.econbiz.de/10014300724

A comparison between bias approximations applied to bivariate VAR models

Brännström, Tomas - 1994

Persistent link: https://www.econbiz.de/10000893698

Are real wages and unemployment related?

Jacobson, Tor; Vredin, Anders; Warne, Anders - 1994

Persistent link: https://www.econbiz.de/10000881787

Smooth transition models

Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000953743

Bartlett corrections in cointegration testing

Jacobson, Tor; Larsson, Rolf - 1996

Persistent link: https://www.econbiz.de/10000953744

Modelling economic relationships with smooth transition regressions

Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000955669

Computationally efficient double bootstrap variance estimation

Karlsson, Sune; Löthgren, Mickael - 1997

Persistent link: https://www.econbiz.de/10000958068

Nonlinearities and regime shifts in financial time series

Åsbrink, Stefan E. - 1997

Persistent link: https://www.econbiz.de/10000958387

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