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GARCH model estimation using estimated quadratic variation
Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192
Persistent link: https://www.econbiz.de/10011483454
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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
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Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric reviews 34 (2015) 1/5, pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
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Volatility spillover effect : a semiparametric analysis of non-cointegrated process
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Econometric reviews 34 (2015) 1/5, pp. 127-145
Persistent link: https://www.econbiz.de/10011373301
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A general approach to conditional moment specification testing with projections
Wang, Xuexin - In: Econometric reviews 37 (2018) 1/5, pp. 140-165
Persistent link: https://www.econbiz.de/10012038162
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Granger-causal analysis of GARCH models : a Bayesian approach
Woźniak, Tomasz - In: Econometric reviews 37 (2018) 1/5, pp. 325-346
Persistent link: https://www.econbiz.de/10012038712
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Robust parametric tests of constant conditional correlation in a MGARCH model
Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576
Persistent link: https://www.econbiz.de/10012039397
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On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
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Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method
Alghalith, Moawia - In: Econometric reviews 35 (2016) 1/4, pp. 257-262
Persistent link: https://www.econbiz.de/10011549920
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Estimation and properties of a time-varying EGARCH(1,1) in mean model
Anyfantaki, Sofia; Dēmos, Antōnēs A. - In: Econometric reviews 35 (2016) 1/4, pp. 293-310
Persistent link: https://www.econbiz.de/10011549930