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A comparison of the power of some tests for conditional heteroscedasticity

Péguin-Feissolle, Anne - In: Economics letters 63 (1999) 1, pp. 5-17

Persistent link: https://www.econbiz.de/10001398780

Modeling the volatility of the US S&P 500 index using an LSTGARCH model

Dufrénot, Gilles; Marimoutou, Vêlayoudom; … - In: Revue d'économie politique 114 (2004) 4, pp. 453-465

Persistent link: https://www.econbiz.de/10002233739

Finite sample properties of tests for STGARCH models and application to the US stock returns

Dufrénot, Gilles; Marimoutou, Vêlayoudom; … - In: Progress in financial markets research, (pp. 83-101). 2012

Persistent link: https://www.econbiz.de/10009678565

Tests of the constancy of conditional correlations of unknown functional form in multivariate GARCH models

Péguin-Feissolle, Anne; Sanhaji, Bilel - In: Annals of economics and statistics 123/124 (2016), pp. 77-101

Persistent link: https://www.econbiz.de/10011592735

Testing for misspecification in the short-run component of GARCH-type models

Chuffart, Thomas; Flachaire, Emmanuel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-17

Persistent link: https://www.econbiz.de/10011965362

Fractionally integrated time varying GARCH model

Nasr, Adnen Ben; Boutahar, Mohamed; Trabelsi, Abdelwahed - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 3, pp. 399-430

Persistent link: https://www.econbiz.de/10008649243

Analyzing volatility spillovers and hedging between oil and stock markets : evidence from wavelet analysis

Khalfaoui, R.; Boutahar, Mohamed; Boubaker, H. - In: Energy economics 49 (2015), pp. 540-549

Persistent link: https://www.econbiz.de/10011537181

Modeling time-varying conditional betas : a comparison of methods with application for REITs

Aloy, Marcel; Laly, Floris; Laurent, Sébastien; … - In: Recent econometric techniques for macroeconomic and …, (pp. 229-264). 2021

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed...

Persistent link: https://www.econbiz.de/10012395467