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Modelling business cycle data using autoregressive-asymmetric moving average models

Brännäs, Kurt; Gooijer, Jan G. de - 1991

Persistent link: https://www.econbiz.de/10000822488

Invertibility of non-linear time series models

Gooijer, Jan G. de; Brännäs, Kurt - 1993

Persistent link: https://www.econbiz.de/10000880510

Invertibility of non-linear time series models

Gooijer, Jan G. de; Brännäs, Kurt - 1994

Persistent link: https://www.econbiz.de/10000151643

Simultaneity and asymmetry of returns and volatilities in the emerging Baltic state stock exchanges

Brännäs, Kurt; Gooijer, Jan G. de; Lönnbark, Carl; … - 2007

Persistent link: https://www.econbiz.de/10003572087

Simultaneity and asymmetry of returns and volatilities : the emerging Baltic States’ stock exchanges

Brännäs, Kurt; Gooijer, Jan G. de; Lönnbark, Carl; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10009521663

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289