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Sequential conditional correlations : inference and evaluation

Palandri, Alessandro - In: Journal of econometrics 153 (2009) 2, pp. 122-132

Persistent link: https://www.econbiz.de/10003920281

QML inference for volatility models with covariates

Francq, Christian; Le Quyen Thieu - In: Econometric theory 35 (2019) 1, pp. 37-72

Persistent link: https://www.econbiz.de/10012146117

Statistical inference of spot correlation and spot market beta under infinite variation jumps

Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654

Persistent link: https://www.econbiz.de/10013349148

Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity

Grobys, Klaus - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1189-1202

Persistent link: https://www.econbiz.de/10011304126

Non-homogeneous volatility correlations in the bivariate multifractal model

Liu, Ruipeng; Lux, Thomas - In: The European journal of finance 21 (2015) 10/12, pp. 971-991

Persistent link: https://www.econbiz.de/10011301954

Improving forecasts with the co-range dynamic conditional correlation model

Fiszeder, Piotr; Fałdziński, Marcin - In: Journal of economic dynamics & control 108 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012313608

GARCH-in-Mean through skewed t conditional distributions : Bayesian inference for exchange rates

Osiewalski, Jacek; Pipień, Mateusz - In: Macromodels '99 : proceedings of the twenty six …, (pp. 354-369). 2000

Persistent link: https://www.econbiz.de/10001627614

Inference in ARCH and GARCH models with heavy-tailed errors

Hall, Peter; Yao, Qiwei - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 1, pp. 285-317

Persistent link: https://www.econbiz.de/10001731116

An examination of the sign and volatility switching arch models under alternative distributional assumptions

Omran, Mohamed F.; Avram, Florin - In: Maximum likelihood estimation of misspecified models : …, (pp. 165-176). 2003

Persistent link: https://www.econbiz.de/10001916324

GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference

Hill, Jonathan B.; Prokhorov, Artem - 2013

We construct a Generalized Empirical Likelihood estimator for a GARCH(1,1) model with a possibly heavy tailed error. The estimator imbeds tail-trimmed estimating equations allowing for over-identifying conditions, asymptotic normality, efficiency and empirical likelihood based confidence regions...

Persistent link: https://www.econbiz.de/10014176854