Search Results - subject:"Autoregressive conditional heteroscedasticity"

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Analiza zmian strukturalnych modeli autoregresyjnych dla wybranych zmiennych ekonomicznych

Kaltenberg-Kwiatkowska, Ewa - 2002

Persistent link: https://www.econbiz.de/10001911079

Does seasonal pattern in Indian stock returns contain a unit root?

Mohanty, Prabir Kumar; Kamaiah, Bandi - In: Indian journal of economics & business : IJEB 1 (2002) 2, pp. [207]-219

Persistent link: https://www.econbiz.de/10001943753

Non-Stationary and No Moments Asymptotics of the Arch Model

Rahbek, Anders; Jensen, Soren Tolver - 2002

We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to existing literature we allow the parameters to be in the region where no stationary version of the process exists

Persistent link: https://www.econbiz.de/10014104835

Advances in Markov-switching models : applications in business cycle research and finance ; with 56 tables

Hamilton, James D. (ed.) - 2002

Persistent link: https://www.econbiz.de/10001681636

Revisiting the shape of the yield curve : the effect of interest rate volatility

Christiansen, Charlotte; Lund, Jesper - 2002

Persistent link: https://www.econbiz.de/10001683214

Transmission of prices and price volatility in Australian electricity spot markets : a multivariate GARCH analysis

Worthington, Andrew Charles; Kay-Spratley, Adam; Higgs, … - 2002

Persistent link: https://www.econbiz.de/10001683703

On jumps and ARCH effects in natural resource prices : an application to Pacific Northwest stumpage prices

Saphores, Jean-Daniel; Khalaf, Lynda; Pelletier, Denis - In: American journal of agricultural economics 84 (2002) 2, pp. 387-400

Persistent link: https://www.econbiz.de/10001683998

Temporal aggregation, volatility components and volume in high frequency UK bond futures

McMillan, David G.; Speight, Alan E. H. - In: The European journal of finance 8 (2002) 1, pp. 70-92

Persistent link: https://www.econbiz.de/10001636185

Stationary of stable power-GARCH processes

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-107

Persistent link: https://www.econbiz.de/10001633694

Entropy densities with an application to autoregressive conditional skewness and kurtosis

Rockinger, Michael; Jondeau, Eric - In: Journal of econometrics 106 (2002) 1, pp. 119-142

Persistent link: https://www.econbiz.de/10001633716

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