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Specification Tests for Time Series Models with GARCH-Type Conditional Variance

Perera, Indeewara - 2018

Specification tests are developed for the conditional distribution of a dependent process {X<sub>i</sub>} in a family of nonlinear time-series models. The family includes several Generalized AutoRegressive Conditional Heteroscedastic [GARCH] models that are widely used in finance and economics. Such tests...

Persistent link: https://www.econbiz.de/10012924783

The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests

Silvapulle, Paramsothy - 1995

Persistent link: https://www.econbiz.de/10000947718

Forecasting inflation from the term structure of interest rates

Hewarathna, Ramya; Silvapulle, Param - 1998

Persistent link: https://www.econbiz.de/10001378676

Tests against inequality constraints when some nuisance parameters are present only under the alternative : test of ARCH in ARCH-M models

Beg, A. B. M. Rabiul A.; Silvapulle, Mervyn J.; … - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 245-253

Persistent link: https://www.econbiz.de/10001568823

Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - 2013

Persistent link: https://www.econbiz.de/10010189526

Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion

Sriananthakumar, Sivagowry; Silvapulle, Paramsothy - In: Applied financial economics 18 (2008) 4/6, pp. 267-273

Persistent link: https://www.econbiz.de/10003739092

Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100

Persistent link: https://www.econbiz.de/10011894402

Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Chen, Xiangjin B. - 2013

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...

Persistent link: https://www.econbiz.de/10013076694