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Summability of stochastic processes : a generalization of integration and co-integration valid for non-linear processes

Berenguer Rico, Vanessa; Gonzalo, Jesús - 2011

Persistent link: https://www.econbiz.de/10009704722

Summability of stochastic processes : a generalization of integration for non-linear processes

Berenguer-Rico, Vanessa; Gonzalo, Jesús - In: Journal of econometrics 178 (2014) 1, pp. 331-341

Persistent link: https://www.econbiz.de/10010256847

Quasi-likelihood estimation of a threshold diffusion process

Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484

Persistent link: https://www.econbiz.de/10011504631

Stochastic equicontinuity in nonlinear time series models

Hagemann, Andreas - In: The econometrics journal 17 (2014) 1, pp. 188-196

Persistent link: https://www.econbiz.de/10010498747

GARCH with omitted persistent covariate

Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254

Persistent link: https://www.econbiz.de/10010493650

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54

We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...

Persistent link: https://www.econbiz.de/10010478989