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Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331
Persistent link: https://www.econbiz.de/10011348447
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Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas; Flachaire, Emmanuel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
The objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...
Persistent link: https://www.econbiz.de/10011862130
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Analysis of sectors on Nigeria stock market: Evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of Contemporary Economic and Business Issues 4 (2017) 2, pp. 21-36
The objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...
Persistent link: https://www.econbiz.de/10011984744
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Autoregressive conditional density estimation
Hansen, Bruce E. - 1992
Persistent link: https://www.econbiz.de/10000840704
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The ACR model : a multivariate dynamic mixture autoregression
Bec, Frédérique; Rahbek, Anders; Shephard, Neil G. - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 583-618
Persistent link: https://www.econbiz.de/10003759114
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Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
Chen, Carl R.; Su, Yuli; Huang, Ying - In: Journal of empirical finance 15 (2008) 4, pp. 789-798
Persistent link: https://www.econbiz.de/10003759773
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Modeling long memory in REITs
Cotter, John; Stevenson, Simon - In: Real estate economics : journal of the American Real … 36 (2008) 3, pp. 533-554
Persistent link: https://www.econbiz.de/10003764888
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Poisson autoregression
Fokianos, Konstantinos (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003788916
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Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
Gospodinov, Nikolaj - In: Journal of econometrics 146 (2008) 1, pp. 146-161
Persistent link: https://www.econbiz.de/10003778271