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Non-negativity conditions for the hyperbolic GARCH model
Conrad, Christian (contributor) - 2007
In this article we derive conditions which ensure the non-negativity of the conditional variance in the Hyperbolic GARCH(p; d; q) (HYGARCH) model of Davidson (2004). The conditions are necessary and sufficient for p < 2 and sufficient for p > 2 and emerge as natural extensions of the inequality constraints derived in...</2>
Persistent link: https://www.econbiz.de/10003762825
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Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003787159
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Analyzing monetary policy in a real-time setting
Tchaidze, Robert R. - 2002
Persistent link: https://www.econbiz.de/10003778923
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Smooth regimes, macroeconomic variables, and bagging for the short-term interest rate process
Audrino, Francesco; Medeiros, Marcelo C. - 2008
Persistent link: https://www.econbiz.de/10003773443
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The econometric analysis of constructed binary time series
Harding, Don (contributor); Pagan, Adrian R. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003340736
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003798233
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Specification tests of parametric dynamic conditional quantiles
Escanciano, Juan Carlos (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003806845
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An econometric analysis of some models for constructed binary time series
Harding, Don (contributor); Pagan, Adrian R. (contributor) - 2009
Persistent link: https://www.econbiz.de/10003810439
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An econometric analysis of some models for constructed binary time series
Harding, Don; Pagan, Adrian R. - 2009 - Updated
Persistent link: https://www.econbiz.de/10003880617