Search Results - subject:"Conditional Heteroskedasticity"

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 227 (2022) 1, pp. 47-64

Persistent link: https://www.econbiz.de/10013441622

Trong-Nghia Nguyen; Minh-Ngoc Tran; Kohn, Robert - In: Journal of applied econometrics 37 (2022) 5, pp. 1031-1054

Persistent link: https://www.econbiz.de/10013464647

Lütkepohl, Helmut; Schlaak, Thore - 2018

identified by conditional heteroskedasticity are reviewed and compared in a Monte Carlo study. The model is a SVAR model with …

Persistent link: https://www.econbiz.de/10011880712

Bruder, Stefan - 2018

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the …

Persistent link: https://www.econbiz.de/10011817166

Lütkepohl, Helmut; Schlaak, Thore - 2018 - Revised version: January 29, 2019

identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study …

Persistent link: https://www.econbiz.de/10012041300

Ishizaki, Ryuji; Inoue, Masayoshi - In: Evolutionary and institutional economics review 21 (2024) 2, pp. 227-236

Persistent link: https://www.econbiz.de/10015191758

Zhang, Li; Wang, Lu; Thong Trung Nguyen; Ren, Ruiyi - In: Finance research letters 70 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015193018

Janik, Bogna; Płuciennik, Piotr - In: Finance research letters 70 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10015193354

Madiès, Philippe; Mourey, Mathis; Taramasco, Ollivier - In: Finance : revue de l'Association Française de Finance 45 (2024) 3, pp. 114-159

Persistent link: https://www.econbiz.de/10015173855

Salisu, Afees A.; Gupta, Rangan; Cepni, Oguzhan; … - In: Review of quantitative finance and accounting 63 (2024) 4, pp. 1473-1510

Persistent link: https://www.econbiz.de/10015178531

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