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Testing the existence of moments for GARCH processes
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 227 (2022) 1, pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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Bootstrapping realized multivariate volatility measures
Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10009702319
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - In: Journal of econometrics 123 (2004) 1, pp. 89-120
Persistent link: https://www.econbiz.de/10002223733
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Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
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Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
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Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
Gospodinov, Nikolaj - In: Journal of econometrics 146 (2008) 1, pp. 146-161
Persistent link: https://www.econbiz.de/10003778271
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Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
Corradi, Valentina; Iglesias, Emma M. - In: Journal of econometrics 144 (2008) 2, pp. 500-510
Persistent link: https://www.econbiz.de/10003774696
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A goodness-of-fit test for ARCH (∞) models
Hidalgo, Javier; Zaffaroni, Paolo - In: Journal of econometrics 141 (2007) 2, pp. 835-875
Persistent link: https://www.econbiz.de/10003571360
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A goodness-of-fit test for ARCH (∞) models
Hidalgo, Javier; Zaffaroni, Paolo - In: Journal of econometrics 141 (2007) 2, pp. 973-1013
Persistent link: https://www.econbiz.de/10003572339
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Bootstrapping nonparametric estimators of the volatility function
Franke, Jürgen; Neumann, Michael H.; Stockis, Jean-Pierre - In: Journal of econometrics 118 (2004) 1/2, pp. 189-218
Persistent link: https://www.econbiz.de/10001823125