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Properties of the autocorrelation function of squared observations for second order GARCH processes under two sets of parameter constraints

He, Changli; Teräsvirta, Timo - 1997

Persistent link: https://www.econbiz.de/10000960149

Parameterizing unconditional skewness in models for financial time series

He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 208-230

Persistent link: https://www.econbiz.de/10003687850

Testing parameter constancy in stationary vector autoregressive models against continuous change

He, Changli; Teräsvirta, Timo; González, Andrés - In: Econometric reviews 28 (2009) 1/3, pp. 225-245

Persistent link: https://www.econbiz.de/10003800734

Parameterizing unconditional skewness in models for financial time series

He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - 2005

Persistent link: https://www.econbiz.de/10003253604

Testing parameter constancy in stationary vector autoregressive models against continuous change

He, Changli (contributor); Teräsvirta, Timo (contributor); … - 2002 - [Elektronische Ressource], Rev. July 11, 2005

In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...