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Adaptive wild bootstrap tests for a unit root with non‐stationary volatility
Boswijk, Herman Peter; Zu, Yang - In: The econometrics journal 21 (2018) 2, pp. 87-113
Persistent link: https://www.econbiz.de/10012166602
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Bayesian inference on GARCH models using the Gibbs sampler
Bauwens, Luc; Lubrano, Michel - In: The econometrics journal 1 (1998) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10001443667
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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc; Rombouts, Jeroen V. K. - In: The econometrics journal 10 (2007) 2, pp. 408-425
Persistent link: https://www.econbiz.de/10003560012
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Theory and inference for a Markov switching GARCH model
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V. K. - In: The econometrics journal 13 (2010) 2, pp. 218-244
Persistent link: https://www.econbiz.de/10003978517
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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, L.; Rombouts, J.V.K. - In: The econometrics journal 10 (2007) 2, pp. 408-425
Persistent link: https://www.econbiz.de/10007743552
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Theory and inference for a Markov switching GARCH model
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V.K. - In: The econometrics journal 13 (2010) 2, pp. 218-245
Persistent link: https://www.econbiz.de/10008412174