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Negative volatility spillovers in the unrestricted ECCC-GARCH model
Conrad, Christian; Karanasos, Menelaos - In: Econometric theory 26 (2010) 3, pp. 838-862
Persistent link: https://www.econbiz.de/10003992438
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Exponential realized GARCH-Itô volatility models
Kim, Donggyu - In: Econometric theory 40 (2024) 4, pp. 790-826
Persistent link: https://www.econbiz.de/10015154305
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The live method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - In: Econometric theory 20 (2004) 6, pp. 1094-1139
Persistent link: https://www.econbiz.de/10002424857
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On the relation between the vec and BEKK multivariate GARCH models
Stelzer, Robert - In: Econometric theory 24 (2008) 4, pp. 1131-1136
Persistent link: https://www.econbiz.de/10003736871
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Signal extraction in long memory stochastic volatility
Arteche, Josu - In: Econometric theory 31 (2015) 6, pp. 1382-1402
Persistent link: https://www.econbiz.de/10011545560
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Econometric analysis of volatility component models
Wang, Fangfang; Ghysels, Eric - In: Econometric theory 31 (2015) 2, pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
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Detecting for smooth structural changes in GARCH models
Chen, Bin; Hong, Yongmiao - In: Econometric theory 32 (2016) 3, pp. 740-791
Persistent link: https://www.econbiz.de/10011606827
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Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia; Liu, Yunxiao - In: Econometric theory 37 (2021) 4, pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
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QML estimation of a class of multivariate asymmetric GARCH models
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 28 (2012) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
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Asymptotic theory for a factor GARCH model
Hafner, Christian M.; Preminger, Arie - In: Econometric theory 25 (2009) 2, pp. 336-363
Persistent link: https://www.econbiz.de/10003818293