Testing for an omitted multiplicative long-term component in GARCH models
Year of publication: |
2019
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Authors: | Conrad, Christian ; Schienle, Melanie |
Publisher: |
Karlsruhe : Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON) |
Subject: | GARCH-MIDAS | LM test | Long-Term Volatility | Mixed-Frequency Data | Volatility Component Models |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5445/IR/1000090371 [DOI] 104719452X [GVK] hdl:10419/191545 [Handle] RePEc:zbw:kitwps:121 [RePEc] |
Classification: | C53 - Forecasting and Other Model Applications ; c58 ; E32 - Business Fluctuations; Cycles ; G12 - Asset Pricing |
Source: |
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Testing for an omitted multiplicative long-term component in GARCH models
Conrad, Christian, (2019)
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Misspecification testing in GARCH-MIDAS models
Conrad, Christian, (2015)
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Testing for an omitted multiplicative long-term component in GARCH models
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Misspecification Testing in GARCH-MIDAS Models
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Misspecification Testing in GARCH-MIDAS Models
Conrad, Christian, (2015)
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Testing for an omitted multiplicative long-term component in GARCH models
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