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Parameter estimation in nonlinear AR-GARCH models

Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2008

Persistent link: https://www.econbiz.de/10003724354

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - In: Journal of econometrics 123 (2004) 1, pp. 89-120

Persistent link: https://www.econbiz.de/10002223733

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

He, Changli; Teräsvirta, Timo - In: Econometric theory 20 (2004) 5, pp. 904-926

Persistent link: https://www.econbiz.de/10002265252

Testing for asymmetry in interest rate volatility in the presence of a neglected level effect

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003145132

Robust modelling of DTARCH models

Hui, Yer Van; Jiang, Jiancheng - In: The econometrics journal 8 (2005) 2, pp. 143-158

Persistent link: https://www.econbiz.de/10003018828

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....