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Limit theory of 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. 426-445
Persistent link: https://www.econbiz.de/10011875287
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009627354
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009628606
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Spatial dependence in stock returns : local normalization and VaR forecasts
Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - In: Empirical economics : a journal of the Institute for … 50 (2016) 3, pp. 1091-1109
Persistent link: https://www.econbiz.de/10011481381
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Volatility analysis in international indices
Altin, Hakan - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10014290701
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Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
Goncalves, Silvia; Kilian, Lutz - In: Econometric Reviews 26 (2007) 6, pp. 609-641
The main contribution of this paper is a proof of the asymptotic validity of the application of the bootstrap to AR(∞) processes with unmodelled conditional heteroskedasticity. We first derive the asymptotic properties of the least-squares estimator of the autoregressive sieve parameters when...
Persistent link: https://www.econbiz.de/10005511987
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
suggest that a non-zero autoregression coefficient tends to increase the deviation of option prices from Black & Scholes …
Persistent link: https://www.econbiz.de/10010310007
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 1998
the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard QML inference …
Persistent link: https://www.econbiz.de/10010310056
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Testing for linear autoregressive dynamics under heteroskedasticity
HAFNER, CHRISTIAN M.; HERWARTZ, HELMUT - In: Econometrics Journal 3 (2000) 2, pp. 177-197
the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard quasi …
Persistent link: https://www.econbiz.de/10005243397
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1998
the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard QML inference …
Persistent link: https://www.econbiz.de/10010956379