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A latent factor model of European exchange rate risk premia
Alexius, Annika; Sellin, Peter - 1997
Persistent link: https://www.econbiz.de/10000958083
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A dynamic conditionally heteroscedastic stochastic frontier model
Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000984774
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Nonlinear error correction and the UK demand for broad money, 1878 - 1993
Teräsvirta, Timo; Eliasson, Ann-Charlotte - 1998
Persistent link: https://www.econbiz.de/10000994464
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Nonlinear error correction and the UK demand for broad money, 1878 - 1993
Teräsvirta, Timo; Eliasson, Ann-Charlotte - 1998 - Rev. version
Persistent link: https://www.econbiz.de/10000998499
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Long term contracts, arbitrage, and vertical restraints
Ellingsen, Tore - 1995
Persistent link: https://www.econbiz.de/10000914060
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Testing parameter constancy in stationary vector autoregressive models against continuous change
He, Changli (contributor); Teräsvirta, Timo (contributor);  … - 2002 - [Elektronische Ressource], Rev. July 11, 2005
In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...
Persistent link: https://www.econbiz.de/10001693105
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Nonlinearities and regime shifts in financial time series
Åsbrink, Stefan E. - 1997
Persistent link: https://www.econbiz.de/10000958387
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Essays on exchange rates, prices and interest rates
Alexius, Annika - 1997
Persistent link: https://www.econbiz.de/10000961609
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Stylized facts of financial time series and three popular models of volatility
Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
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