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Lagrange multiplier tests for normality against seminonparametric alternatives

Hall, Alastair R. - In: Journal of business & economic statistics : JBES ; a … 8 (1990) 4, pp. 417-426

Persistent link: https://www.econbiz.de/10001096543

Testing for nonlinear dependence in daily foreign exchange rates

Hsieh, David A. - In: The journal of business : B 62 (1989) 3, pp. 339-368

Persistent link: https://www.econbiz.de/10001069300

Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999

Chan, Wai-Sum (contributor); Li, Wai Keung (contributor); … - International Workshop on Statistics and Finance <1999, … - 2000

Persistent link: https://www.econbiz.de/10001490756

Testing for nonlinear dependence in daily foreign exchange rate changes

Hsieh, David A. - 1988

Persistent link: https://www.econbiz.de/10000766355

Adäquate Modellierung von Finanzzeitreihen und Parameterschätzung in Modellen mit autoregressiver bedingter Heteroskedastie

Brechtmann, Markus - 1998

Persistent link: https://www.econbiz.de/10000675119

Non-stationarity in Garch models : a Bayesian analysis

Kleibergen, F.; Dijk, H. K. van - 1993

Persistent link: https://www.econbiz.de/10000122423

Nonstationarity in GARCH models : a Bayesian analysis

Kleibergen, Frank; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000122477

A residual-based test for multivariate GARCH models using transformed quadratic residuals

Ke, Rui; Jia, Jing; Tan, Changchun - In: Economics letters 206 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012886565

Analysis of asymmetric GARCH volatility models with applications to margin measurement

Goldman, Elena; Shen, Xiangjin - 2018

We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as...

Persistent link: https://www.econbiz.de/10011844178

Asymptotic inference about predictive accuracy using high frequency data

Li, Jia; Patton, Andrew J. - In: Journal of econometrics 203 (2018) 2, pp. 223-240

Persistent link: https://www.econbiz.de/10011974659

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