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Generalized ARMA models with martingale difference errors

Zheng, Tingguo; Xiao, Han; Chen, Rong - In: Journal of econometrics 189 (2015) 2, pp. 492-506

Persistent link: https://www.econbiz.de/10011504639

Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

Lopes, Sílvia R.C.; Prass, Taiane S. - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 278-307

stationarity and the ergodicity of these processes. We prove that, if {Xt}t∈Z is a FIEGARCH(p,d,q) process then, under mild …

Persistent link: https://www.econbiz.de/10011058849

Level shifts in stock returns driven by large shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of empirical finance 29 (2014), pp. 41-51

Persistent link: https://www.econbiz.de/10011300506

Frontiers in time series and financial econometrics: An overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 245-250

Persistent link: https://www.econbiz.de/10011503737

Frontiers in time series and financial econometrics : an overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

Persistent link: https://www.econbiz.de/10010484894

Retail and wholesale gasoline price adjustments in response to oil price changes

Bumpass, Donald Lynn; Ginn, Vance; Tuttle, Markland H. - In: Energy economics 52 (2015) 1, pp. 49-54

Persistent link: https://www.econbiz.de/10011568085

Debt regimes and the effectiveness of monetary policy

De Luigi, Clara; Huber, Florian - In: Journal of economic dynamics & control 93 (2018), pp. 218-238

Persistent link: https://www.econbiz.de/10011974509

Modeling multiple regimes in financial volatility with a flexible coefficient GARCH model

Medeiros, Marcelo C.; Veiga, Alvaro - 2004

ergodicity of the model is established and the existence of the second- and fourth-order moments is discussed. It is shown that …

Persistent link: https://www.econbiz.de/10011807314

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

HARK the SHARK : realized volatility modeling with measurement errors and nonlinear dependencies

Buccheri, Giuseppe; Corsi, Fulvio - In: Journal of financial econometrics 19 (2021) 4, pp. 614-649

Persistent link: https://www.econbiz.de/10012654982