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Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - 2019
Persistent link: https://www.econbiz.de/10012316892
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - 2022
Persistent link: https://www.econbiz.de/10012816369
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...
Persistent link: https://www.econbiz.de/10013459316
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Fourth moment structure of a family of first-order exponential GARCH models
He, Changli; Teräsvirta, Timo; Malmsten, Hans - 1999
Persistent link: https://www.econbiz.de/10001438416
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Fourth moment structure of the GARCH(p,q) process
He, Changli; Teräsvirta, Timo - In: Econometric theory 15 (1999) 6, pp. 824-846
Persistent link: https://www.econbiz.de/10001507480
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Properties of moments of a family of GARCH processes
He, Changli; Teräsvirta, Timo - In: Journal of econometrics 92 (1999) 1, pp. 173-192
Persistent link: https://www.econbiz.de/10001400095
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Properties of moments of a family of GARCH processes
He, Changli; Teräsvirta, Timo - 1997
Persistent link: https://www.econbiz.de/10000971355
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Higher-order dependence in the general power arch process and a special case
He, Changli; Teräsvirta, Timo - 1999
Persistent link: https://www.econbiz.de/10001393098
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Fourth moment structure of the GARCH (p, q) process
He, Changli; Teräsvirta, Timo - 1997
Persistent link: https://www.econbiz.de/10000960148
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Moment stucture of a family of first-order exponential GARCH models
He, Changli; Teräsvirta, Timo; Malmsten, Hans - In: Econometric theory 18 (2002) 4, pp. 868-885
Persistent link: https://www.econbiz.de/10001687472