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Accelerating score-driven time series models
Blasques, F.; Gorgi, P.; Koopman, Siem Jan - In: Journal of econometrics 212 (2019) 2, pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
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Properties of moments of a family of GARCH processes
He, Changli; Teräsvirta, Timo - In: Journal of econometrics 92 (1999) 1, pp. 173-192
Persistent link: https://www.econbiz.de/10001400095
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Estimation of dynamic and ARCH Tobit models
Lee, Lung-fei - In: Journal of econometrics 92 (1999) 2, pp. 355-390
Persistent link: https://www.econbiz.de/10001400177
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A consistent test for conditional symmetry in time series models
Bai, Jushan; Ng, Serena - In: Journal of econometrics 103 (2001) 1/2, pp. 225-258
Persistent link: https://www.econbiz.de/10001585362
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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - In: Journal of econometrics 74 (1996) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10001755360
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Evaluating GARCH models
Lundbergh, Stefan; Teräsvirta, Timo - In: Journal of econometrics 110 (2002) 2, pp. 417-435
Persistent link: https://www.econbiz.de/10001703535
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Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
Davidson, James E. H. - In: Journal of econometrics 106 (2002) 2, pp. 243-269
Persistent link: https://www.econbiz.de/10001638897
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - In: Journal of econometrics 123 (2004) 1, pp. 89-120
Persistent link: https://www.econbiz.de/10002223733
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Conditional asymmetry in Power ARCH(∞) models
Royer, Julien - In: Journal of econometrics 234 (2023) 1, pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
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Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10014364807