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Estimation and testing in models containing both jumps and conditional heteroskedasticity

Drost, Feike C.; Nijman, Theo; Werker, Bas J.M. - Tilburg University, Center for Economic Research - 1994

In this paper we develop tests for the hypothesis that a series (observed in discrete time) is generated by a diffusion process and discuss the results of these tests for several exchange rates and stock market indices. The tests of this hypothesis that have been proposed up to now in literature...

Persistent link: https://www.econbiz.de/10011092099

Temporal aggregation of GARCH processes

Drost, Feike C.; Nijman, Theo - Tilburg University, Center for Economic Research - 1990

Persistent link: https://www.econbiz.de/10011092490

Temporal aggregation of GARCH processes

Drost, Feike C.; Nijman, Theo - Tilburg University, Center for Economic Research - 1992

Persistent link: https://www.econbiz.de/10011092933

Estimation and testing in models containing both jumps and conditional heteroskedasticity

Drost, Feike C.; Nijman, Theodore E.; Werker, Bas J. M. - 1994

Persistent link: https://www.econbiz.de/10000904675

Temporal aggregation of GARCH processes

Drost, Feike C.; Nijman, Theodore E. - 1992 - Rev

Persistent link: https://www.econbiz.de/10000847144

Temporal aggregation of GARCH processes

Drost, Feike C. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 909-927

Persistent link: https://www.econbiz.de/10001147137

Estimation and testing in models containing both jumps and conditional heteroscedasticity

Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243

Persistent link: https://www.econbiz.de/10001244002

Temporal aggregation of GARCH processes

Drost, Feike C.; Nijman, Theodore E. - 1990

Persistent link: https://www.econbiz.de/10000801756

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