Showing 1 - 10 of 760
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10011313921
parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …
Persistent link: https://www.econbiz.de/10011380176
Persistent link: https://www.econbiz.de/10012435636
Persistent link: https://www.econbiz.de/10011629426
such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …
Persistent link: https://www.econbiz.de/10014252427
Persistent link: https://www.econbiz.de/10011781784
Economic theories are often encoded in equilibrium models that cannot be directly estimated because they lack features that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the data well. We propose an econometric approach that...
Persistent link: https://www.econbiz.de/10012792815
Persistent link: https://www.econbiz.de/10012321243
Persistent link: https://www.econbiz.de/10012321946
Persistent link: https://www.econbiz.de/10014486414