Similar Search Results

Testing for misspecification in the short-run component of GARCH-type models

Chuffart, Thomas; Flachaire, Emmanuel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-17

Persistent link: https://www.econbiz.de/10011965362

First and second order non-linear cointegration models

Lange, Theis - 2009

Persistent link: https://www.econbiz.de/10003849457

A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - In: Econometric reviews 36 (2017) 6/9, pp. 599-621

Persistent link: https://www.econbiz.de/10011795292

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 347-364

Persistent link: https://www.econbiz.de/10011649097

On the origins of conditional heteroscedasticity in time series

Ashley, Richard A. - In: The Korean economic review 28 (2012) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10010192152

Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model

Kiliç, Rehim - In: Journal of empirical finance 18 (2011) 2, pp. 368-378

Persistent link: https://www.econbiz.de/10009301107

Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index

Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613

Persistent link: https://www.econbiz.de/10011485602

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

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

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

Nob-linear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - In: The econometrics journal 8 (2005) 2, pp. 251-276

Persistent link: https://www.econbiz.de/10003018967

A service of the

zbw