Search Results - subject:"conditional variance"

Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach

Milionis, Alexandros E. - Bank of Greece - 2003

conditional variance are discussed. An ad hoc method for testing and correcting for variance non-stationarity is suggested. It is …

Persistent link: https://www.econbiz.de/10005321922

Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein : an "unconventional" augmented GARCH-approach

Brunhart, Andreas - 2011 - Preliminary version

" augmented GARCH-model to analyse the dynamical pattern and other influences on the risk measured by the conditional variance of …

Persistent link: https://www.econbiz.de/10009153349

The relationship between stock returns and volatility in the seventeen largest international stock markets : a semi-parametric approach

Dimitriou, Dimitrios; Simos, Theodore - In: Modern economy 2 (2011) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10009305794

Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data

Brännäs, Kurt - Institutionen för Nationalekonomi, Umeå Universitet - 2002

Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.

Persistent link: https://www.econbiz.de/10005424016

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2010

DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....

Persistent link: https://www.econbiz.de/10008752709

How to compare interpretatively different models for the conditional variance function

Juutilainen, Ilmari; Roning, Juha - In: Journal of Applied Statistics 37 (2010) 6, pp. 983-997

This study considers regression-type models with heteroscedastic Gaussian errors. The conditional variance is assumed …

Persistent link: https://www.econbiz.de/10008674934

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

McAleer, Michael; Caporin, Massimiliano - Department of Economics and Finance, College of … - 2010

Persistent link: https://www.econbiz.de/10008465226

Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation

Iglesias, Emma - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 2, pp. 1592-1592

ARCH models when we include an exogenous variable in the conditional variance equation. In this setting, we find …

Persistent link: https://www.econbiz.de/10005046493

Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets

Liow, Kim - In: The Journal of Real Estate Finance and Economics 39 (2009) 4, pp. 415-438

Persistent link: https://www.econbiz.de/10008527163

Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process

He, Changli - Economics Institute for Research (SIR), … - 2000

In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered. Conditions for the existence of any arbitrary unconditional moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of squared observations are...

Persistent link: https://www.econbiz.de/10005649336