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Robust misspecification tests for the Heckman's two-step estimator
Montes-Rojas, Gabriel V. - In: Econometric reviews 30 (2011) 2, pp. 154-172
Persistent link: https://www.econbiz.de/10008990445
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Finite sample performance of the MLE in GARCH(1,1) : when the parameter on the lagged squared residual is close to zero
Kim, Suduk - In: Journal of economic theory and econometrics : journal … 4 (1998) 2, pp. 131-151
Persistent link: https://www.econbiz.de/10001562242
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Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 30 (2011) 3, pp. 303-336
Persistent link: https://www.econbiz.de/10008990434
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A triple-threshold leverage stochastic volatility model
Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500
Persistent link: https://www.econbiz.de/10011339413
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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Diagnostic tests based on quantile residuals for nonlinear time series models
Kalliovirta, Leena - 2009
Persistent link: https://www.econbiz.de/10003885269
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Misspecification tests for periodic long memory GARCH models
Caporin, Massimiliano; Lisi, Francesco - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 1, pp. 47-62
Persistent link: https://www.econbiz.de/10003945286
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Misspecification Tests for Periodic Long Memory GARCH Models
Caporin, Massimiliano - 2008
Distributional theory for Quasi-Maximum Likelihood estimators in long memory conditional heteroskedastic models is not …
Persistent link: https://www.econbiz.de/10012723650
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Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model
Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - 2018
Persistent link: https://www.econbiz.de/10011992635
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On bootstrap validity for subset Anderson-Rubin test in IV regressions
Doko Tchatoka, Firmin; Wang, Wenjie - 2015
Persistent link: https://www.econbiz.de/10010528653