Narrow search
Showing 1 - 10 of 28,737
Cover Image
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng; Lu, Xinjie; Yang, Ke; Zhang, Yaojie - In: Applied economics 51 (2019) 38, pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
Cover Image
Testing for a unit root with nonstationary nonlinear heteroskedasticity
Tu, Yundong; Chan, Nigel; Wang, Qiying - In: Econometric reviews 39 (2020) 9, pp. 904-929
Persistent link: https://www.econbiz.de/10012295588
Cover Image
Asymmetric business cycle fluctuations in Caribbean economies
Kiani, Khurshid M. - In: International journal of economic perspectives : IJEP 5 (2011) 2, pp. 121-140
Persistent link: https://www.econbiz.de/10011587461
Cover Image
Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates
Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 528-542
Persistent link: https://www.econbiz.de/10011893733
Cover Image
Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - 2008
Persistent link: https://www.econbiz.de/10003818469
Cover Image
Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - 2010 - rev.
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally …
Persistent link: https://www.econbiz.de/10008669985
Cover Image
Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - In: Econometric theory 27 (2011) 6, pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
Cover Image
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010233639
Cover Image
Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010233991
Cover Image
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010249640