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On the origins of high persistence in GARCH-models

Krämer, Walter; Tameze Azamo, Baudouin; Christou, … - 2009

Persistent link: https://www.econbiz.de/10008839631

l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes

Neto, David; Sardy, Sylvain; Tseng, Paul - 2009

Persistent link: https://www.econbiz.de/10003926975

Mean aversion in and persistence of shocks to the US dollar : evidence from nine foreign currencies

Azar, Samih Antoine - In: International journal of economics and financial issues … 3 (2013) 3, pp. 723-733

Persistent link: https://www.econbiz.de/10010519398

Asymptotic properties of GARCH-X processes

Han, Heejoon - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 188-221

Persistent link: https://www.econbiz.de/10010519656

Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values

Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323

Persistent link: https://www.econbiz.de/10011430513

Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?

Hennani, Rachida - 2015

Persistent link: https://www.econbiz.de/10011300800

Banking systemic vulnerabilities : a tail-risk dynamic CIMDO approach

Jin, Xisong; Nadal-De Simone, Francisco - In: Journal of financial stability 14 (2014), pp. 81-101

Persistent link: https://www.econbiz.de/10011302103

Herding, a-synchronous updating and heterogeneity in memory in a CBS

Diks, Cees G. H.; Weide, Roy van der - 2003

predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …

Persistent link: https://www.econbiz.de/10011334332

Why frequency matters for unit root testing

Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...

Persistent link: https://www.econbiz.de/10011342578

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …

Persistent link: https://www.econbiz.de/10011326944