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An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

; multivariate volatility model ; random coefficient model ; volatility forecasting …

Persistent link: https://www.econbiz.de/10001714621

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

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina (contributor); … - 2005 - [Elektronische Ressource], Rev. October 2005

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

Persistent link: https://www.econbiz.de/10002570445

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

Properties of moments of a family of GARCH processes

He, Changli; Teräsvirta, Timo - 1997

Persistent link: https://www.econbiz.de/10000971355

Specification and estimation of random effects models with serial correlation of general form

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

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...

Persistent link: https://www.econbiz.de/10001600058

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

Essays on Random Effects models and GARCH

Skoglund, Jimmy - 2001

Persistent link: https://www.econbiz.de/10001565684

Fourth moment structure of the GARCH (p, q) process

He, Changli; Teräsvirta, Timo - 1997

Persistent link: https://www.econbiz.de/10000960148

An extended constant conditional correlation GARCH model and its fourth-moment-structure

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

heteroskedasticity ; volatility dynamics …

Persistent link: https://www.econbiz.de/10001693116