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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
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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
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Trading volume and autocorrelation : empirical evidence from the Stockholm Stock Exchange
Säfvenblad, Patrik - 1997
Persistent link: https://www.econbiz.de/10000971380
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Evaluating exponential GARCH models
Malmsten, Hans (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
tests are also investigated by simulations. -- evalation of volatility models ; modelling volatility ; parameter constancy …
Persistent link: https://www.econbiz.de/10002199638
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Univariate nonlinear time series models
Teräsvirta, Timo (contributor) - 2005 - [Elektronische Ressource]
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
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Evaluating models of autoregressive conditional duration
Meitz, Mika (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], First version March 2004, revised December 2004
This paper contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are...
Persistent link: https://www.econbiz.de/10001959574
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Lead-lag effects when prices reveal cross-security information
Säfvenblad, Patrik - 1997
Persistent link: https://www.econbiz.de/10000971375
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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
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Shareholder gains from equity private placements : evidence from the Stockholm stock exchange
Molin, Johan - 1996
Persistent link: https://www.econbiz.de/10000931944
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Financial liberalization, bank crises and growth : assessing the links
Bonfiglioli, Alessandra (contributor);  … - 2004 - [Elektronische Ressource]
This paper studies the effects of financial liberalization and banking crises on growth. It shows that financial liberalization spurs on average economic growth. Banking crises are harmful for growth, but to a lesser extent in countries with open financial systems and good institutions. The...
Persistent link: https://www.econbiz.de/10002380051