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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2020
Persistent link: https://www.econbiz.de/10012317803
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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2016
Persistent link: https://www.econbiz.de/10011624059
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On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders; Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849498
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A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - 2014
Persistent link: https://www.econbiz.de/10010237808
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Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012620745
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Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021
Persistent link: https://www.econbiz.de/10012815962
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - 2022
Persistent link: https://www.econbiz.de/10012816369
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To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard; Noël, Antoine L. - 2020
Persistent link: https://www.econbiz.de/10012318239
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Bootstrap sequential determination of the co-integrated rank in VAR models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - 2010
Persistent link: https://www.econbiz.de/10003932092
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Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
Gonc̜alves, Sílva; Hounyo, Ulrich; Meddahi, Nour - 2013
Persistent link: https://www.econbiz.de/10009719165