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Testing for common breaks in a multiple equations system
Oka, Tatsushi; Perron, Pierre - In: Journal of econometrics 204 (2018) 1, pp. 66-85
Persistent link: https://www.econbiz.de/10011974716
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Testing for common breaks in a multiple equations system
Oka, Tatsushi; Perron, Pierre - 2018
Persistent link: https://www.econbiz.de/10012583297
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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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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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GARCH model estimation using estimated quadratic variation
Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192
Persistent link: https://www.econbiz.de/10011483454
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Volatility activity : specification and estimation
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 178 (2014) 1, pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
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Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data
Nunkoo, Houmera Bibi Sabera; Sookia, Noor Ul Hacq; … - In: Journal of risk : JOR 26 (2023) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10014487297
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Inference on locally ordered breaks in multiple regressions
Li, Ye; Perron, Pierre - In: Econometric reviews 36 (2017) 1/3, pp. 289-353
Persistent link: https://www.econbiz.de/10011795213