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A TEST OF THE GARCH(1, 1) SPEC...
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Macroeconomic dynamics
Working papers / Department of Economics, Virginia Polytechnic Institute and State University
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Apparent long memory in time series as an artifact of a time-varying mean : considering alternatives to the fractionally integrated model
Ashley, Richard A.
;
Patterson, Douglas M.
- In:
Macroeconomic dynamics
14
(
2010
),
pp. 59-87
Persistent link: https://www.econbiz.de/10003981216
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A test of the GARCH (1,1) specification for daily stock returns
Ashley, Richard A.
;
Patterson, Douglas M.
- In:
Macroeconomic dynamics
14
(
2010
),
pp. 137-144
Persistent link: https://www.econbiz.de/10003981220
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3
Are technology shocks nonlinear?
Altuğ, Sumru
;
Ashley, Richard A.
;
Patterson, Douglas M.
- In:
Macroeconomic dynamics
3
(
1999
)
4
,
pp. 506-533
Persistent link: https://www.econbiz.de/10001618378
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4
A TEST OF THE GARCH(1, 1) SPECIFICATION FOR DAILY STOCK RETURNS
Ashley, Richard A.
;
Patterson, Douglas M.
- In:
Macroeconomic dynamics
14
(
2010
),
pp. 137-145
Persistent link: https://www.econbiz.de/10008417351
Saved in:
5
APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
Ashley, Richard A.
;
Patterson, Douglas M.
- In:
Macroeconomic dynamics
14
(
2010
),
pp. 59-88
Persistent link: https://www.econbiz.de/10008417354
Saved in:
6
The incidence of informational cascades and the behavior of trade interarrival times during the stock market bubble
Patterson, Douglas M.
;
Sharma, Vivek
- In:
Macroeconomic dynamics
14
(
2010
),
pp. 111-136
Persistent link: https://www.econbiz.de/10003981219
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7
THE INCIDENCE OF INFORMATIONAL CASCADES AND THE BEHAVIOR OF TRADE INTERARRIVAL TIMES DURING THE STOCK MARKET BUBBLE
Patterson, Douglas M.
;
Sharma, Vivek
- In:
Macroeconomic dynamics
14
(
2010
),
pp. 111-137
Persistent link: https://www.econbiz.de/10008417352
Saved in:
8
Detection and modeling of regression parameter variation across frequencies : with an application to testing the permanent income hypothesis
Tan, Hui Boon
;
Ashley, Richard A.
- In:
Macroeconomic dynamics
3
(
1999
)
1
,
pp. 69-83
Persistent link: https://www.econbiz.de/10001617714
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