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Renorming volatilities in a family of GARCH models
Li, Dong; Wu, Wuqing - In: Econometric theory 34 (2018) 6, pp. 1370-1382
Persistent link: https://www.econbiz.de/10012038081
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Detecting for smooth structural changes in GARCH models
Chen, Bin; Hong, Yongmiao - In: Econometric theory 32 (2016) 3, pp. 740-791
Persistent link: https://www.econbiz.de/10011606827
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Spline estimation of a semiparametric GARCH model
Liu, Rong; Yang, Lijian - In: Econometric theory 32 (2016) 4, pp. 1023-1054
Persistent link: https://www.econbiz.de/10011644228
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On a family of contrasts for parametric inference in degenerate ARCH models
Truquet, Lionel - In: Econometric theory 30 (2014) 6, pp. 1165-1206
Persistent link: https://www.econbiz.de/10010502121
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Econometric analysis of volatility component models
Wang, Fangfang; Ghysels, Eric - In: Econometric theory 31 (2015) 2, pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
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Dynamic asset correlations based on vines
Poignard, Benjamin; Fermanian, Jean-David - In: Econometric theory 35 (2019) 1, pp. 167-197
Persistent link: https://www.econbiz.de/10012146127
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Characterizations of multinormality and corresponding tests of fit, including for GARCH models
Henze, Norbert; Jiménez-Gamero, M. Dolores; Meintanis, … - In: Econometric theory 35 (2019) 3, pp. 510-546
Persistent link: https://www.econbiz.de/10012146149
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On the stationarity of dynamic conditional correlation models
Fermanian, Jean-David; Malongo, Hassan - In: Econometric theory 33 (2017) 3, pp. 636-663
Persistent link: https://www.econbiz.de/10011810178
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Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sébastien; Violante, … - In: Econometric theory 33 (2017) 3, pp. 691-716
Persistent link: https://www.econbiz.de/10011810186
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Adaptive long memory testing under heteroskedasticity
Harris, David; Kew, Hsein - In: Econometric theory 33 (2017) 3, pp. 755-778
Persistent link: https://www.econbiz.de/10011810197