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A nonlinear analysis of the real exchange rate-consumption relationship

Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: Macroeconomic dynamics 22 (2018) 7, pp. 1825-1843

Persistent link: https://www.econbiz.de/10011918182

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - 2015

Persistent link: https://www.econbiz.de/10011777143

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model

Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021

Persistent link: https://www.econbiz.de/10012815962

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494

What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models

Murphy, David - In: The journal of risk model validation 17 (2023) 2, pp. 59-81

Persistent link: https://www.econbiz.de/10014485769

Parsimonious heterogeneous ARCH models for high frequency modeling

Teran, Juan Carlos Ruilova; Morettin, Pedro Alberto - In: Journal of risk and financial management : JRFM 13 (2020) 2/38, pp. 1-19

heterogeneous information present in the financial market and the long memory of volatility. Some theoretical properties of this …

Persistent link: https://www.econbiz.de/10012173694

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

A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - In: Econometric reviews 36 (2017) 6/9, pp. 599-621

Persistent link: https://www.econbiz.de/10011795292

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