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Nonstationary nonlinear heteroskedasticity

Park, Joon Y. - In: Journal of econometrics 110 (2002) 2, pp. 383-415

Persistent link: https://www.econbiz.de/10001703530

Selecting from amongst non-nested conditional variance models : information criteria and portfolio determination

Brooks, Chris; Burke, Simon P. - In: The Manchester School 70 (2002) 6, pp. 747-767

Persistent link: https://www.econbiz.de/10001720409

Multivariate term structure models with level and heteroskedasticity effects

Christiansen, Charlotte - 2002

Persistent link: https://www.econbiz.de/10001721479

Multivariate term structure models with level and heteroskedasticity effects

Christiansen, Charlotte (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001724263

An extended constant conditional correlation GARCH model and its fourth-moment-structure

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

The constant conditional correlation GARCH model is probably the most frequently applied multivariate GARCH model. In this paper we consider an extension to this model and examine its fourth-moment structure. The extension, first considered by Jeantheau (1998), is motivated by the result found...