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In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
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The most up-to-date and accessible guide to one of the fastest growing areas in financial analysis by one of Europes's leading teaching and researching teams. This classroom-tested advanced undergraduate and graduate textbook provides an in-depth treatment of non-linear models, including...
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This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihoodratio statistic with that of the least-squares based Dickey-Fuller statistic. We first useasymptotics where the GARCH variance process is...
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It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...
Persistent link: https://www.econbiz.de/10013072501
It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...
Persistent link: https://www.econbiz.de/10010225789