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Estimation of a semiparametric IGARCH(1,1) model

Kim, Woocheol; Linton, Oliver - 2009

Persistent link: https://www.econbiz.de/10003942459

On the validity of the jarque-bera normality test in conditionally heteroskedastic synamic regression models

Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio - 2003

Persistent link: https://www.econbiz.de/10001747011

Quantile regression for long memory testing : a case of realized volatility

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 693-724

Persistent link: https://www.econbiz.de/10011623824

Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with hetereogenous dependent errors

Coudin, Elise; Dufour, Jean-Marie - 2017

Persistent link: https://www.econbiz.de/10011610097

Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression

Chen, Cathy W. S.; Khemmanant Khamthong; Lee, Sangyeol - In: Robustness in econometrics, (pp. 111-134). 2017

Persistent link: https://www.econbiz.de/10011801139

Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors

Coudin, Elise; Dufour, Jean-Marie - In: Econometric reviews 39 (2020) 8, pp. 763-791

Persistent link: https://www.econbiz.de/10012295580

Volatility in cereal prices : intra- versus inter-annual volatility

Ott, Hervé - In: Journal of agricultural economics 65 (2014) 3, pp. 557-578

Persistent link: https://www.econbiz.de/10010467381

Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

Prono, Todd - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-25

Persistent link: https://www.econbiz.de/10011965371

When simplicity offers a benefit, not a cost : closed-form estimation of the GARCH(1,1) model that enhances the efficiency of quasi-maximum likelihood

Prono, Todd - 2019 - This version: February 2019

Simple, multi-step estimators are developed for the popular GARCH(1,1) model, where these estimators are either available entirely in closed form or dependent upon a preliminary estimate from, for example, quasi-maximum likelihood. Identification sources to asymmetry in the model's innovations,...

Persistent link: https://www.econbiz.de/10012181040

The information content of implied volatility index (India VIX)

Shaikh, Imlak; Padhi, Puja - In: Global business perspectives 1 (2013) 4, pp. 359-378

Persistent link: https://www.econbiz.de/10010230219