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Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance
Szimayer, Alexander (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001758056
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Using monthly returns to model conditional heteroscedasticity
Joseph, Nathan Lael - In: Applied economics 35 (2003) 7, pp. 791-801
Persistent link: https://www.econbiz.de/10001761490
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Asymptotic theory for a vector ARMA-GARCH model
Ling, Shiqing; McAleer, Michael - In: Econometric theory 19 (2003) 2, pp. 280-310
Persistent link: https://www.econbiz.de/10001743407
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia (contributor); Kilian, Lutz (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947544
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Fourth moment structure of the GARCH(p,q) process
He, Changli; Teräsvirta, Timo - In: Econometric theory 15 (1999) 6, pp. 824-846
Persistent link: https://www.econbiz.de/10001507480
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Robust modelling of ARCH models
Jiang, Jiancheng; Zhao, Quanshui; Hui, Yer Van - In: Journal of forecasting 20 (2001) 2, pp. 111-133
Persistent link: https://www.econbiz.de/10001570436
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Autoregressive conditional heteroscedasticity in commodity spot prices
Beck, Stacie - In: Journal of applied econometrics 16 (2001) 2, pp. 115-132
Persistent link: https://www.econbiz.de/10001573882
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Testing when a parameter is on the boundary of the maintained hypothesis
Andrews, Donald W. K. - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 3, pp. 683-734
Persistent link: https://www.econbiz.de/10001580794
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The relation between conditionally heteroskedastic factor models and factor GARCH models
Sentana, Enrique - In: The econometrics journal 1 (1998) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10001443694
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Heteroscedasticity in stock returns data revisited : volume versus GARCH effects
Omran, M. F.; McKenzie, Eddie - In: Applied financial economics 10 (2000) 5, pp. 553-560
Persistent link: https://www.econbiz.de/10001527054