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Bootstrap testing for fractional integration
Eklund, Bruno; Gredenhoff, Mikael P. - 1997
Persistent link: https://www.econbiz.de/10000971372
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A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...
Persistent link: https://www.econbiz.de/10001600059
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Testing linearity against smooth transition autoregression using a parametric bootstrap
Skalin, Joakim - 1998 - Rev. version
Persistent link: https://www.econbiz.de/10000998500
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Smooth transition models
Teräsvirta, Timo - 1996
Persistent link: https://www.econbiz.de/10000953743
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Bartlett corrections in cointegration testing
Jacobson, Tor; Larsson, Rolf - 1996
Persistent link: https://www.econbiz.de/10000953744
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Modelling economic relationships with smooth transition regressions
Teräsvirta, Timo - 1996
Persistent link: https://www.econbiz.de/10000955669
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Nonlinearities and regime shifts in financial time series
Åsbrink, Stefan E. - 1997
Persistent link: https://www.econbiz.de/10000958387
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Specification tests for asymmetric GARCH
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000959369
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Properties of the autocorrelation function of squared observations for second order GARCH processes under two sets of parameter constraints
He, Changli; Teräsvirta, Timo - 1997
Persistent link: https://www.econbiz.de/10000960149