Search Results - subject:"Generalized Autoregressive conditional heteroscedasticity"

A note on the normalized errors in ARCH and stochastic volatility models

Nelson, Daniel B. - 1994

Persistent link: https://www.econbiz.de/10000899491

Unit root tests with level shift in the presence of GARCH

Hecq, Alain W. J. - 1994

Persistent link: https://www.econbiz.de/10000901026

Fractionally integrated models with ARCH errors

Hauser, Michael A.; Kunst, Robert M. - 1994

Persistent link: https://www.econbiz.de/10000882159

Modeling volatility persistence of speculative returns : a new approach

Ding, Zhuanxin; Granger, C. W. J. - 1994

Persistent link: https://www.econbiz.de/10000892121

Fitting the moments : a comparison of arch and regime switching models for daily stock returns

Sola, Martin; Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10000147717

Unobserved components in ARCH models : an application to seasonal adjustment

Fiorentini, Gabriele; Maravall Herrero, Agustín - 1994

Persistent link: https://www.econbiz.de/10000147942

Risk and supply response in Turkish agriculture : an Arch & Garch analysis (1950 - 1990)

Ghatak, Subrata; Albayrak, Nursen - 1994

Persistent link: https://www.econbiz.de/10000148816

Conditional heteroskedasticity in nonlinear simultaneous equations

Calzolari, Giorgio; Fiorentini, Gabriele - 1994

Persistent link: https://www.econbiz.de/10000151461

A note on the relationship between GARCH and symmetric stable processes

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1994

Persistent link: https://www.econbiz.de/10000560199

Chapter 49 Arch models

Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - In: Handbook of econometrics : volume 4, (pp. 2959-3038). 1994

This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time...

Persistent link: https://www.econbiz.de/10014024959