Narrow search
Showing 1 - 10 of 48
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Variance (non) causality in multivariate GARCH
Caporin, Massimiliano - In: Econometric reviews 26 (2007) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10003509003
Cover Image
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
Cover Image
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
Cover Image
A multivariate threshold varying conditional correlations model
Kwan, W.; Li, Wai Keung; Ng, K. W. - In: Econometric reviews 29 (2010) 1, pp. 20-38
Persistent link: https://www.econbiz.de/10003943399
Cover Image
Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 30 (2011) 3, pp. 303-336
Persistent link: https://www.econbiz.de/10008990434
Cover Image
Estimation and asymptotic inference in the AR-ARCH model
Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver - In: Econometric reviews 30 (2011) 2, pp. 129-153
Persistent link: https://www.econbiz.de/10008990449
Cover Image
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