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Discrete-response state space models with conditional heteroscedasticity : an application to forecasting the federal funds rate target
Dimitrakopoulos, Stefanos; Dey, Dipak - In: Economics letters 154 (2017), pp. 20-23
Persistent link: https://www.econbiz.de/10011810690
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GARCH with omitted persistent covariate
Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254
Persistent link: https://www.econbiz.de/10010493650
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Can portmanteau nonlinearity tests serve as general mis-specification tests? : Evidence from symmetric and asymmetric GARCH models
Brooks, Chris; Henry, Ólan Thomas John - In: Economics letters 67 (2000) 3, pp. 245-251
Persistent link: https://www.econbiz.de/10001473656
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A self-normalization test for correlation change
Choi, Ji-Eun; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012509218
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Monitoring parameter change for time series models with conditional heteroscedasticity
Huh, Jaewon; Oh, Haejune; Lee, Sangyeol - In: Economics letters 152 (2017), pp. 66-70
Persistent link: https://www.econbiz.de/10011801150
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Sequential change-point detection in time series models with conditional heteroscedasticity
Lee, Youngmi; Kim, Sungdon; Oh, Haejune - In: Economics letters 236 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10015071897
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Long memory with Markov-Switching GARCH
Krämer, Walter - In: Economics letters 99 (2008) 2, pp. 390-392
Persistent link: https://www.econbiz.de/10003723848
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The functional central limit theorem for Markov-switching GARCH model
Kwon, Dream; Lee, Oesook - In: Economics letters 238 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015075686
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Normality test for multivariate conditional heteroskedastic dynamic
Lee, Sangyeol; Ng, Chi Tim - In: Economics letters 111 (2011) 1, pp. 75-77
Persistent link: https://www.econbiz.de/10009241338
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Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Lütkepohl, Helmut - In: Economics letters 195 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012509991