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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates

Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538

Persistent link: https://www.econbiz.de/10003741298

M-estimation in GARCH models

Mukherjee, Kanchan - In: Econometric theory 24 (2008) 6, pp. 1530-1553

Persistent link: https://www.econbiz.de/10003771782

Adaptive density estimation for general ARCH models

Comte, Fabienne; Dedecker, J.; Taupin, M. L. - In: Econometric theory 24 (2008) 6, pp. 1628-1662

Persistent link: https://www.econbiz.de/10003771889

Semiparametric inference in a GARCH-in-Mean model

Christensen, Bent Jesper (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003774701

Deciding between GARCH and stochastic volatility via strong decision rules

Preminger, Arie (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003329726

GARCH, heteroscedasticity-consistent vovariance matric estimation and non-linear unit root testing

Cook, Steven - In: Applied financial economics letters 2 (2006) 4, pp. 217-222

Persistent link: https://www.econbiz.de/10003351931

Inequality constraints in the fractionally integrated GARCH model

Conrad, Christian A.; Haag, Berthold R. - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 413-449

Persistent link: https://www.econbiz.de/10003354107

A semiparametric GARCH model for foreign exchange volatility

Yang, Lijian - In: Journal of econometrics 130 (2006) 2, pp. 365-384

Persistent link: https://www.econbiz.de/10003277973

Empirical likelihood for GARCH models

Chan, Ngai Hang; Ling, Shiqing - In: Econometric theory 22 (2006) 3, pp. 403-428

Persistent link: https://www.econbiz.de/10003307474

Empirical likelihood methods for an AR(1) process with ARCH(1) errors

Klüppelberg, Claudia (contributor); Peng, Liang (contributor) - 2006

For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval...

Persistent link: https://www.econbiz.de/10003310084