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Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model

Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021

Persistent link: https://www.econbiz.de/10012815962

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494

Tests of non-nested linear regression models subject to linear restrictions

Pesaran, M. Hashem; Hall, Anthony D. - 1986

Persistent link: https://www.econbiz.de/10000715057

A Monte Carlo study of some tests of model adequacy in time series analysis

Hall, Anthony D.; McAleer, Michael - 1987 - Rev.

Persistent link: https://www.econbiz.de/10000724797

Tests of non-nested linear regression models subject to linear restrictions

Pesaran, M. Hashem - In: Economics letters 4 (1988), pp. 341-348

Persistent link: https://www.econbiz.de/10001051468

Diagnostic tests as residual analysis

Pagan, Adrian R.; Pagan, A.R.; Hall, A.D. - 1983

Persistent link: https://www.econbiz.de/10000012598

Smooth transition models

Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000953743

Modelling economic relationships with smooth transition regressions

Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000955669

Linearity testing and nonlinear modeling of economic time series

Teräsvirta, Timo - In: Nonlinear dynamics and economics : proceedings of the …, (pp. 281-293). 1996

Persistent link: https://www.econbiz.de/10001297243

Power properties of linearity test for time series

Teräsvirta, Timo (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 3-10

Persistent link: https://www.econbiz.de/10001769423

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