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Exchange rate volatility in Nigeria: Consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN Journal of Applied Statistics 02 (2011) 2, pp. 29-49
examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …
Persistent link: https://www.econbiz.de/10011482561
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …
Persistent link: https://www.econbiz.de/10011477452
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Consistency of the model order change-point estimator for GARCH models
Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 8 (2018) 2, pp. 266-282
Persistent link: https://www.econbiz.de/10011874721
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Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010
Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third …
Persistent link: https://www.econbiz.de/10008543477
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Output consistency and weak output consistency for continuous-time implicit systems
Geerts, A.H.W. - Tilburg University, School of Economics and Management - 1993
Persistent link: https://www.econbiz.de/10011105445