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Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept

Knüppel, Malte - 2004

In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and …

Persistent link: https://www.econbiz.de/10010295668

Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model

Kiliç, Rehim - In: Journal of empirical finance 18 (2011) 2, pp. 368-378

Persistent link: https://www.econbiz.de/10009301107

Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values

Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323

Persistent link: https://www.econbiz.de/10011430513

Measuring macroeconomic instability : a critical survey illustrated with exports series

Cariolle, Joël; Goujon, Michaël - In: Journal of economic surveys 29 (2015) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011381764

Multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...

Persistent link: https://www.econbiz.de/10011301206