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Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values
Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10011430513
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Panel versus GARCH information in unit root testing with an application to financial markets
Westerlund, Joakim; Narayan, Paresh Kumar - In: Economic modelling 41 (2014), pp. 173-176
Persistent link: https://www.econbiz.de/10010438367
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Interdependence between India Stock Market and developed economies stock markets during major stock market crashes
Kannan, R. Kumara; Jesiah, Selvam - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 537-550
Persistent link: https://www.econbiz.de/10013472761
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The finite-sample size of the BDS test for GARCH standardized residuals
Fernandes, Marcelo; Preumont, Pierre-Yves - In: Brazilian review of econometrics : BRE ; the review of … 32 (2012) 2, pp. 241-260
Persistent link: https://www.econbiz.de/10011538566
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Volatility in cereal prices : intra- versus inter-annual volatility
Ott, Hervé - In: Journal of agricultural economics 65 (2014) 3, pp. 557-578
Persistent link: https://www.econbiz.de/10010467381
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Ination dynamics and time-varying persistence : the importance of the uncertainty channel
Canepa, Alessandra - 2022
Persistent link: https://www.econbiz.de/10013366360
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New unit root tests in the nonlinear ESTAR framework : the movement and volatility characteristics of crude oil and copper prices
Li, Yanglin - In: Computational economics 63 (2024) 5, pp. 1757-1776
Persistent link: https://www.econbiz.de/10014549246
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Inflation dynamics and persistence : the importance of the uncertainty channel
Canepa, Alessandra - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014534818
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Common Persistence in Conditional Variances
Bollerslev, Tim; Engle, Robert F. - 1994
-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …
Persistent link: https://www.econbiz.de/10009475524
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Essays on financial models
Amilon, Henrik - 2000
Persistent link: https://www.econbiz.de/10001534304