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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Gouriéroux, Christian"
~person:"Teräsvirta, Timo"
~subject:"Estimation"
~type_genre:"Working Paper"
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Volatility
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Bollerslev, Tim
Gouriéroux, Christian
Teräsvirta, Timo
Gao, Jiti
23
Kapetanios, George
18
Linton, Oliver
18
Marcellino, Massimiliano
18
Pesaran, M. Hashem
18
Cai, Zongwu
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ECONIS (ZBW)
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
4
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
-
2017
-
September 2016, revised version
Persistent link: https://www.econbiz.de/10012197832
Saved in:
5
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
-
2016
-
March 2016, revised version
Persistent link: https://www.econbiz.de/10011855307
Saved in:
6
A flexible state-space model with application to stochastic volatility
Gouriéroux, Christian
;
Lu, Yang
-
2016
Persistent link: https://www.econbiz.de/10012196330
Saved in:
7
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
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8
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
9
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
Saved in:
10
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
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