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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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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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The time-varying GARCH-in-mean model
Dias, Gustavo Fruet - In: Economics letters 157 (2017), pp. 129-132
Persistent link: https://www.econbiz.de/10011847330
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Robustness of binary choice models to conditional heteroscedasticity
Ginker, Tim; Lieberman, Offer - In: Economics letters 150 (2017), pp. 130-134
Persistent link: https://www.econbiz.de/10011764909
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An ARCH model without intercept
Hafner, Christian M.; Preminger, Arie - In: Economics letters 129 (2015), pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
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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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Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265
Persistent link: https://www.econbiz.de/10011618857
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A residual-based test for multivariate GARCH models using transformed quadratic residuals
Ke, Rui; Jia, Jing; Tan, Changchun - In: Economics letters 206 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012886565
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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