Similar Search Results - EconBiz

Conditional leptokurtosis and non-linear dependence in exchange rate returns

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000897287

Volatility transmission and financial crises

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - In: Journal of economics and finance 30 (2006) 3, pp. 376-390

Persistent link: https://www.econbiz.de/10003413566

The BDS test as a test for the adequacy of a GARCH (1,1) specification : a Monte Carlo study

Caporale, Guglielmo Maria; Ntantamis, Christos; … - 2004

In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the...

Persistent link: https://www.econbiz.de/10009728983

The BDS test as a test for the adequacy of a GARCH (1,1) specification : a Monte Carlo study

Caporale, Guglielmo Maria; Ntantamis, Christos; … - In: Journal of financial econometrics : official journal of … 3 (2005) 2, pp. 282-309

Persistent link: https://www.econbiz.de/10002811388

The BDS test as a test for the adequacy of a GARCH(1,1) specification : a Monte Carlo study

Caporale, Guglielmo Maria; Ntantamis, Christos; … - 2004

Persistent link: https://www.econbiz.de/10002068650

Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity

Pantelidis, Theologos; Pittis, Nikitas - In: Journal of forecasting 28 (2009) 7, pp. 612-630

Persistent link: https://www.econbiz.de/10003902230

Unbounded heteroscedasticity in first-order autoregressive models and the EickerWhite asymptotic variance estimator

Kourogenis, Nikolaos; Pittis, Nikitas - In: Economics letters 106 (2010) 2, pp. 84-86

Persistent link: https://www.econbiz.de/10003948555

Testing for Granger causality in variance in the presence of causality in mean

Pantelidis, Theologos; Pittis, Nikitas - In: Economics letters 85 (2004) 2, pp. 201-207

Persistent link: https://www.econbiz.de/10002253547

Factor models of stock returns : GARCH errors versus time-varying betas

Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - In: Journal of forecasting 35 (2016) 5, pp. 445-461

Persistent link: https://www.econbiz.de/10011580985

Interest and exchange rate risk and stock returns : a multivariate Garch-M modelling approach

Beirne, John (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641941

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