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Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric reviews 34 (2015) 1/5, pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
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Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
Halunga, Andreea G.; Savva, Christos S. - In: Econometric reviews 38 (2019) 6, pp. 660-678
Persistent link: https://www.econbiz.de/10012181343
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A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - In: Econometric reviews 36 (2017) 6/9, pp. 599-621
Persistent link: https://www.econbiz.de/10011795292
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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814
Persistent link: https://www.econbiz.de/10010363876
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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
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Robust parametric tests of constant conditional correlation in a MGARCH model
Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576
Persistent link: https://www.econbiz.de/10012039397
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GARCH model estimation using estimated quadratic variation
Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192
Persistent link: https://www.econbiz.de/10011483454
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Specification and testing of multiplicative time-varying GARCH models with applications
Amado, Cristina; Teräsvirta, Timo - In: Econometric reviews 36 (2017) 4, pp. 421-446
Persistent link: https://www.econbiz.de/10011795239
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Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea; Marín, J. Miguel; Veiga, Helena - In: Econometric reviews 39 (2020) 10, pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
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High-dimensional penalized arch processes
Poignard, Benjamin; Fermanian, Jean-David - In: Econometric reviews 40 (2021) 1, pp. 86-107
Persistent link: https://www.econbiz.de/10012483797