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Efficient forecast tests for conditional policy forecasts
Faust, Jon; Wright, Jonathan H. - In: Journal of econometrics 146 (2008) 2, pp. 293-303
Persistent link: https://www.econbiz.de/10003782979
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Nonlinear models for strongly dependent processes with financial applications
Baillie, Richard; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-71
Persistent link: https://www.econbiz.de/10003783785
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Fiscal policy and asset markets : a semiparametric analysis
Jansen, Dennis W.; Li, Qi; Wang, Zijun; Yang, Jian - In: Journal of econometrics 147 (2008) 1, pp. 141-150
Persistent link: https://www.econbiz.de/10003783794
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Testing for multivariate volatility functions using minimum volume sets and inverse regression
Polonik, Wolfgang; Yao, Qiwei - In: Journal of econometrics 147 (2008) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10003783795
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The common and specific components of dynamic volatility
Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Chan, Ngai Hang; Deng, Shi-jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10003441983
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Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
Seo, Byeongseon - In: Journal of econometrics 137 (2007) 1, pp. 68-111
Persistent link: https://www.econbiz.de/10003425505
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Structural attribution of observed volatility clustering
Granger, C. W. J.; Machina, Mark J. - In: Journal of econometrics 135 (2006) 1/2, pp. 15-29
Persistent link: https://www.econbiz.de/10003376075
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Intelligible factors for the yield curve
Lengwiler, Yvan; Lenz, Carlos - In: Journal of econometrics 157 (2010) 2, pp. 481-491
Persistent link: https://www.econbiz.de/10008662977
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Non-negativity conditions for the hyperbolic GARCH model
Conrad, Christian - In: Journal of econometrics 157 (2010) 2, pp. 441-457
Persistent link: https://www.econbiz.de/10008662982