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Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao; Li, Chenxue; Peng, Liang - In: Econometric reviews 38 (2019) 2, pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
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Testing explosive bubbles with time-varying volatility
Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151
Persistent link: https://www.econbiz.de/10012181398
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Large sample properties of the three-step euclidean likelihood estimators under model misspecification
Dovonon, Prosper - In: Econometric reviews 35 (2016) 1/4, pp. 465-514
Persistent link: https://www.econbiz.de/10011550029
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Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England
Andrews, Martyn J.; Elamin, Obbey; Hall, Alastair R.; … - In: Econometric reviews 36 (2017) 1/3, pp. 23-41
Persistent link: https://www.econbiz.de/10011794611
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On some models for value-at-risk
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong - In: Econometric reviews 29 (2010) 5/6, pp. 622-641
Persistent link: https://www.econbiz.de/10008668112
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Asymptotic and bootstrap inference for AR (∞) processes with conditional heteroskedasticity
Gonçalves, Sílvia; Kilian, Lutz - In: Econometric reviews 26 (2007) 6, pp. 609-641
Persistent link: https://www.econbiz.de/10003605816
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A comparison of the runs test for volatility forecastability and the LM test for GARCH using aggregated returns
Ulu, Yasemin - In: Econometric reviews 26 (2007) 5, pp. 557-566
Persistent link: https://www.econbiz.de/10003549312
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Variance (non) causality in multivariate GARCH
Caporin, Massimiliano - In: Econometric reviews 26 (2007) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10003509003
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Bayesian clustering of many GARCH models
Bauwens, Luc; Rombouts, Jeroen V. K. - In: Econometric reviews 26 (2007) 2, pp. 365-386
Persistent link: https://www.econbiz.de/10003509134
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Structure and asymptotic theory for multivariate asymmetric conditional volatility
McAleer, Michael; Hoti, Suhejla; Chan, Felix - In: Econometric reviews 28 (2009) 5, pp. 422-440
Persistent link: https://www.econbiz.de/10003873066