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Designed quadrature to approximate integrals in maximum simulated likelihood estimation
Bansal, Prateek; Keshavarzzadeh, Vahid; Guevara, Angelo; … - In: The econometrics journal 25 (2022) 2, pp. 301-321
Persistent link: https://www.econbiz.de/10013253833
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Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry
Brown, Bryan W.; Hodgson, Douglas J. - In: The econometrics journal 10 (2007) 1, pp. 35-48
Persistent link: https://www.econbiz.de/10003451746
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Stationarity of a family of GARCH processes
Liu, Ji-chun - In: The econometrics journal 12 (2009) 3, pp. 436-446
Persistent link: https://www.econbiz.de/10003948829
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Specification tests for nonlinear dynamic models
Kheifets, Igor L. - In: The econometrics journal 18 (2015) 1, pp. 67-94
Persistent link: https://www.econbiz.de/10011345998
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Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
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Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: The econometrics journal 17 (2014) 1, pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
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Distinguishing short and long memory volatility specifications
Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen - In: The econometrics journal 11 (2008) 3, pp. 617-637
Persistent link: https://www.econbiz.de/10003802446
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Causality and forecasting in temporally aggregated multivariate GARCH processes
Hafner, Christian M. - In: The econometrics journal 12 (2009) 1, pp. 127-146
Persistent link: https://www.econbiz.de/10003841978
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Testing for volatility interactions in the constant conditional correlation GARCH model
Nakatani, Tomoaki; Teräsvirta, Timo - In: The econometrics journal 12 (2009) 1, pp. 147-163
Persistent link: https://www.econbiz.de/10003841983
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Nob-linear GARCH models for highly persistent volatility
Lanne, Markku; Saikkonen, Pentti - In: The econometrics journal 8 (2005) 2, pp. 251-276
Persistent link: https://www.econbiz.de/10003018967