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On the origins of conditional heteroscedasticity in time series

Ashley, Richard A. - In: The Korean economic review 28 (2012) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10010192152

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of econometrics 185 (2015) 1, pp. 182-195

Persistent link: https://www.econbiz.de/10011339876

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208

Preliminary evidence on relationships between agricultural commodities futures prices, spot prices and oil prices using reverse regressions

Cartwright, Phillip A.; Riabko, Natalija - In: Applied economics letters 22 (2015) 10/12, pp. 777-782

Persistent link: https://www.econbiz.de/10011285361

Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market

Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014

In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …

Persistent link: https://www.econbiz.de/10010361372