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Conditional leptokurtosis and non-linear dependence in exchange rate returns

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

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

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

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