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Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo; Kang, Kyu Ho - In: Journal of empirical finance 72 (2023), pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
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Inflation and the distribution of price changes
Bryan, Michael F.; Cecchetti, Stephen G. - 1996
Persistent link: https://www.econbiz.de/10000609279
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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Small sample properties of GARCH estimates and persistence
Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494
Persistent link: https://www.econbiz.de/10003382813
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Midas regressions : further results and new directions
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen I. - In: Econometric reviews 26 (2007) 1, pp. 53-90
Persistent link: https://www.econbiz.de/10003509012
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Asymmetry and long memory in volatility modeling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
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Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
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A triple-threshold leverage stochastic volatility model
Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500
Persistent link: https://www.econbiz.de/10011339413
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Inflation targeting and exchange rate volatility : a treatment effect regression approach
Pontines, Victor - In: International economic journal 27 (2013) 1, pp. 25-39
Persistent link: https://www.econbiz.de/10009734094