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GARCH with omitted persistent covariate

Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254

Persistent link: https://www.econbiz.de/10010493650

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Why frequency matters for unit root testing

Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.

recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …

Persistent link: https://www.econbiz.de/10011342578

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistent link: https://www.econbiz.de/10011476095

Testing for a unit root with nonstationary nonlinear heteroskedasticity

Tu, Yundong; Chan, Nigel; Wang, Qiying - In: Econometric reviews 39 (2020) 9, pp. 904-929

Persistent link: https://www.econbiz.de/10012295588

Is gold a hedge against inflation? : new evidence from a nonlinear ARDL approach

Hoang, Thi Hong Van; Lahiani, Amine; Heller, David - In: Economic modelling 54 (2016), pp. 54-66

Persistent link: https://www.econbiz.de/10011641377

GARCH, heteroscedasticity-consistent vovariance matric estimation and non-linear unit root testing

Cook, Steven - In: Applied financial economics letters 2 (2006) 4, pp. 217-222

Persistent link: https://www.econbiz.de/10003351931

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84

Persistent link: https://www.econbiz.de/10011617209

Sequential monitoring for changes from stationarity to mild non-stationarity

Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: Journal of econometrics 215 (2020) 1, pp. 209-238

Persistent link: https://www.econbiz.de/10012439449

A score statistic for testing the presence of a stochastic trend in conditional variances

Hong, Yongmiao; Linton, Oliver; McCabe, Brendan Peter Martin - In: Economics letters 213 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013442141