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IGARCH models and structural breaks

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - In: Applied economics letters 10 (2003) 12, pp. 765-768

Persistent link: https://www.econbiz.de/10001819341

Unemployment persistence in EU countries : new evidence using bounded unit root tests

Albulescu, Claudiu Tiberiu; Tiwari, Aviral Kumar - In: Applied economics letters 25 (2018) 12, pp. 807-810

Persistent link: https://www.econbiz.de/10012129867

Deterministic and stochastic trends in the Lee-Carter mortality model

Callot, Laurent; Haldrup, Niels; Kallestrup-Lamb, Malene - In: Applied economics letters 23 (2016) 7/9, pp. 486-493

Persistent link: https://www.econbiz.de/10011627706

Sustainability of current accounts : evidence from the quantile unit-root test

Kuo, Chen-Yin - In: Applied economics letters 23 (2016) 10/12, pp. 747-755

Persistent link: https://www.econbiz.de/10011628492

Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models

Lütkepohl, Helmut; Netšunajev, Aleksei - 2015

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...

Persistent link: https://www.econbiz.de/10010503909