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Goodness-of-fit tests for linear and nonlinear time series models
Escanciano, Carlos - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 530-541
Persistent link: https://www.econbiz.de/10003334560
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An introduction to univariate GARCH models
Teräsvirta, Tim - In: Handbook of financial time series, (pp. 17-42). 2009
Persistent link: https://www.econbiz.de/10003833776
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Conditional Gauss-Hermite filtering with application to volatility estimation
Singer, Hermann - 2008
Persistent link: https://www.econbiz.de/10003795449
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An empirical analysis of current account data
Aßmann, Christian - 2009
Persistent link: https://www.econbiz.de/10003806423
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Specification tests of parametric dynamic conditional quantiles
Escanciano, Juan Carlos (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003806845
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Persistence in nonlinear time series : a nonparametric approach
Escanciano, Juan Carlos (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003806879
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Diagnostic tests based on quantile residuals for nonlinear time series models
Kalliovirta, Leena - 2009
Persistent link: https://www.econbiz.de/10003885269
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Nonlinear tools for analyzing and forecasting financial time series : an application to US interest rates
Wesner, Nicolas - In: International finance and monetary policy, (pp. 157-186). 2006
Persistent link: https://www.econbiz.de/10003459477
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Nonlinearity in deviations from uncovered interest parity : an explanation of the forward bias puzzle
Sarno, Lucio; Valente, Giorgio; Leon, Hyginus L. - In: Review of finance : journal of the European Finance … 10 (2006) 3, pp. 443-482
Persistent link: https://www.econbiz.de/10003408032
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Linear cointegration of nonlinear time series with an application to interest rate dynamics
Jones, Barry E.; Nesmith, Travis D. - 2007
Persistent link: https://www.econbiz.de/10003425995