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Nonlinear models in macroeconometrics

Teräsvirta, Timo - 2017

Persistent link: https://www.econbiz.de/10011750305

Riesgo y rentabilidad en el mercado de valores español

Sentana, Enrique - In: Moneda y crédito : revista de economía (1995), pp. 133-160

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Modelling economic high-frequency time series with STAR-STGARCH models

Lundbergh, Stefan; Teräsvirta, Timo - 1998

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Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - 2015

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Modelling economic high-frequency time series

Lundbergh, Stefan; Teräsvirta, Timo - 1999

In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests...

Persistent link: https://www.econbiz.de/10011300552