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Determination of vector error correction models in high dimensions
Liang, Chong; Schienle, Melanie - In: Journal of econometrics 208 (2019) 2, pp. 418-441
Persistent link: https://www.econbiz.de/10012145046
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A test for constant correlations in a multivariate GARCH model
Tse, Yiu Kuen - In: Journal of econometrics 98 (2000) 1, pp. 107-127
Persistent link: https://www.econbiz.de/10001497684
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Financial econometrics: past developments and future challenges
Bollerslev, Tim - In: Journal of econometrics 100 (2001) 1, pp. 41-51
Persistent link: https://www.econbiz.de/10001546139
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Identification, estimation and testing of conditionally heteroskedastic factor models
Sentana, Enrique; Fiorentini, Gabriele - In: Journal of econometrics 102 (2001) 2, pp. 143-164
Persistent link: https://www.econbiz.de/10001580599
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A test for volatility spillover with application to exchange rates
Hong, Yongmiao - In: Journal of econometrics 103 (2001) 1/2, pp. 183-224
Persistent link: https://www.econbiz.de/10001585360
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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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Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el; Zakoïan, Jean-Michel - In: Journal of econometrics 101 (2001) 2, pp. 257-294
Persistent link: https://www.econbiz.de/10001554899
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Stationary of stable power-GARCH processes
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-107
Persistent link: https://www.econbiz.de/10001633694
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Entropy densities with an application to autoregressive conditional skewness and kurtosis
Rockinger, Michael; Jondeau, Eric - In: Journal of econometrics 106 (2002) 1, pp. 119-142
Persistent link: https://www.econbiz.de/10001633716
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Stationarity and the existence of moments of a family of GARCH processes
Ling, Shiqing; McAleer, Michael - In: Journal of econometrics 106 (2002) 1, pp. 109-117
Persistent link: https://www.econbiz.de/10001634306