Search Results - subject:"Autoregressive conditional heteroskedasticity"

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Can risk premium explain the excess return? : The switching regime ARCH approach

Choi, Heenam - In: Journal of economic theory and econometrics : journal … 4 (1998) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10001562229

Finite sample performance of the MLE in GARCH(1,1) : when the parameter on the lagged squared residual is close to zero

Kim, Suduk - In: Journal of economic theory and econometrics : journal … 4 (1998) 2, pp. 131-151

Persistent link: https://www.econbiz.de/10001562242

The prediction of down-side market risk with GARCH-stable models

Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1998

Persistent link: https://www.econbiz.de/10001410540

Smooth-transition GARCH models

González-Rivera, Gloria (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 61-78

Persistent link: https://www.econbiz.de/10001769701

A Markov-chain sampling algorithm for GARCH models

Nakatsuma, Teruo (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 107-117

Persistent link: https://www.econbiz.de/10001769705

Sectoral investigation of asymmetries in the conditional mean dynamics of the real U.S. GDP

Bidarkota, Prasad V. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 4, pp. 191-200

Persistent link: https://www.econbiz.de/10001769719

Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables

Hafner, Christian M. - 1998

Persistent link: https://www.econbiz.de/10000965598

Hedging foreign currency portfolios

Gagnon, Louis; Lypny, Gregory J.; McCurdy, Thomas H. - In: Journal of empirical finance 5 (1998) 3, pp. 197-220

Persistent link: https://www.econbiz.de/10001668824

Testing for Arch in the Presence of Additive Outliers

Franses, Philip Hans; Lucas, André; Dijk, Dick van - 1998

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional … heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the …

Persistent link: https://www.econbiz.de/10014200208

Modelling U.K. Inflation Uncertainty : The Impact of News and the Relationship with Inflation

Joyce, Michael A. S. - 1998

Uncertainty about future inflation is often claimed to be one of the most important costs of inflation, since it distorts the workings of the price system and leads to allocational inefficiencies. This paper analyses U.K. inflation between 1950 and 1994 using the ARCH methodology, which enables...

Persistent link: https://www.econbiz.de/10014217162

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