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Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 8 (2018) 2, pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009627354
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009628606
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Spatial dependence in stock returns : local normalization and VaR forecasts
Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - In: Empirical economics : a journal of the Institute for … 50 (2016) 3, pp. 1091-1109
Persistent link: https://www.econbiz.de/10011481381
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Volatility analysis in international indices
Altin, Hakan - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10014290701
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Overlapping sub-sampling and invariance to initial conditions
Kyriacou, Maria - 2012
Persistent link: https://www.econbiz.de/10009672405
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Estimating and applying autoregression models via their eigensystem representation
Krippner, Leo - 2023
Persistent link: https://www.econbiz.de/10014432302
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Modeling best practice life expectancy using gumbel autoregressive models
Medford, Anthony - In: Risks : open access journal 9 (2021) 3, pp. 1-9
Best practice life expectancy has recently been modeled using extreme value theory. In this paper we present the Gumbel autoregressive model of order one-Gumbel AR(1)-as an option for modeling best practice life expectancy. This class of model represents a neat and coherent framework for...
Persistent link: https://www.econbiz.de/10012508517
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Time Series Econometrics : Learning Through Replication
Levendis, John D. - 2018 - Corrected publication 2021
-- Chapter 4: Unit Root and Stationarity Tests -- Chapter 5: Structural Breaks and Non-Stationairty -- Chapter 6: ARCH, GARCH and …
Persistent link: https://www.econbiz.de/10012397044
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Time series econometrics : learning through replication
Levendis, John D. - 2018
Persistent link: https://www.econbiz.de/10011897703