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Modeling and testing smooth structural changes with endogenous regressors
Chen, Bin - In: Journal of Econometrics 185 (2015) 1, pp. 196-215
Modeling and detecting parameter stability of econometric models is a long standing problem. Most existing estimation and testing methods are designed for models without endogeneity. Little attention has been paid to models with endogeneous regressors, which may arise in many scenarios in...
Persistent link: https://www.econbiz.de/10011190710
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Selection Criteria in Regime Switching Conditional Volatility Models
Chuffart, Thomas - In: Econometrics 3 (2015) 2, pp. 289-316
Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011276476
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Overlaying Time Scales in Financial Volatility Data
Hillebrand, Eric - EconWPA - 2005
financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …
Persistent link: https://www.econbiz.de/10005062571
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IMPACT OF CRUDE OIL PRICE VOLATILITY ON WORLD EQUITY MARKETS BEHARVIUR
KUMAR, Rakesh; TAMIMI, Mohammad - In: Journal of Applied Research in Finance Bi-Annually III (2011) 2, pp. 236-248
in stock market, two stages GARCH (1,1) model is used. In the first stage, GARCH (1,1) is used to estimate the … question by running GARCH (1,1) model. The data set used in the study involves the monthly prices of stock exchange listed … correlation in stock returns, GARCH (1,1) estimation of asymmetric volatility, and finally correlation to examine the volatility …
Persistent link: https://www.econbiz.de/10010742138
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Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models
Kilic, Ekrem - EconWPA - 2005
Volatility of financial markets is an important topic for academics, policy makers and market participants. In this study first I summarized several specifications for the conditional variance and also define some methods for combination of these specifications. Then assuming that the squared...
Persistent link: https://www.econbiz.de/10005556286
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STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS
Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha - EconWPA - 1996
GARCH models. All the procedures are illustrated in detail. …
Persistent link: https://www.econbiz.de/10005556396
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Finance and growth: Schumpeter might be wrong in our era. New evidence from Meta-analysis
Asongu, Simplice A. - 2013
Purpose - In a meta-study on the finance-growth nexus, we have bridged the gap between Schumpeterian authors and sympathizers of a questionable finance-growth nexus. Design/methodology/approach - Over 20 fundamental characteristics that have influenced the debate over the last decades have been...
Persistent link: https://www.econbiz.de/10011390831
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Finance and growth: New evidence from Meta-analysis
Asongu, Simplice A. - 2013
Purpose - In a meta-study, we have bridged the gap between the pros and cons of a questionable finance-growth nexus. Design/methodology/approach - Over 20 fundamental characteristics that have influenced the debate over the last decades have been examined. The empirical evidence is based on 196...
Persistent link: https://www.econbiz.de/10011390843
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Finance and growth : new evidence from meta-analysis
Asongu, Simplice A. - 2013
Purpose - In a meta-study, we have bridged the gap between the pros and cons of a questionable finance-growth nexus. Design/methodology/approach - Over 20 fundamental characteristics that have influenced the debate over the last decades have been examined. The empirical evidence is based on 196...
Persistent link: https://www.econbiz.de/10011409927
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Finance and growth : Schumpeter might be wrong in our era ; new evidence from meta-analysis
Asongu, Simplice A. - 2013
Purpose - In a meta-study on the finance-growth nexus, we have bridged the gap between Schumpeterian authors and sympathizers of a questionable finance-growth nexus. Design/methodology/approach - Over 20 fundamental characteristics that have influenced the debate over the last decades have been...
Persistent link: https://www.econbiz.de/10011410019