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~person:"Teräsvirta, Timo"
~subject:"Börsenkurs"
~subject:"Schätzung"
~subject:"Time series analysis"
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Börsenkurs
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Time series analysis
ARCH-Modell
60
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56
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29
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28
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26
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modelling volatility
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multivariate GARCH
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smooth transition GARCH
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Teräsvirta, Timo
McAleer, Michael
105
Gupta, Rangan
54
Chang, Chia-Lin
35
Ma, Feng
35
Bauwens, Luc
31
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29
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27
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26
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24
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22
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21
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21
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20
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20
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19
Karanasos, Menelaos
19
Silvennoinen, Annastiina
18
Asai, Manabu
17
Francq, Christian
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Tiwari, Aviral Kumar
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Yoon, Seong-min
17
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Jawadi, Fredj
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16
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ECONIS (ZBW)
31
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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
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
- In:
Econometrics : open access journal
10
(
2022
)
3
,
pp. 1-41
GARCH
model, where the
GARCH
equations are time-varying. The alternative to constancy is that the correlations change …
Persistent link: https://www.econbiz.de/10013459316
Saved in:
3
Building multivariate time-varying smooth transition correlation
GARCH
models, with an application to the four largest Australian banks
Hall, Anthony
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometrics : open access journal
11
(
2023
)
1
,
pp. 1-37
This paper proposes a methodology for building Multivariate Time-Varying STCC-
GARCH
models. The novel contributions in …
Persistent link: https://www.econbiz.de/10014281494
Saved in:
4
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:
5
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:
6
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
Saved in:
7
Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
Saved in:
8
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation
GARCH
model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
9
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
Saved in:
10
Modelling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2012
Persistent link: https://www.econbiz.de/10009502490
Saved in:
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