Similar Search Results - EconBiz

Multivariate Range-Based Egarch Models

Yan, Lili; Kellard, Neil; Lambercy, Lyudmyla - 2022

The dynamic conditional correlation (DCC) and co-range models are two main frameworks widely used to employ range-based univariate volatility. Using the two approaches, we build novel multivariate range-based EGARCH (REGARCH) models: a DCC-REGARCH and co-range REGARCH (CRREGARCH) model, as well...

Persistent link: https://www.econbiz.de/10014238188

An analysis of the EEC sugar regime with reference to yield trends, C sugar production and security of supply

Ingersent, Kenneth A. - In: Oxford agrarian studies 15 (1986), pp. 100-128

Persistent link: https://www.econbiz.de/10001092530

Bayesian comparison of ARIMA and stationary ARMA models

Marriott, John Arthur Ransome; Newbold, Paul - In: International statistical review : a journal of the … 66 (1998) 3, pp. 323-336

Persistent link: https://www.econbiz.de/10001436107

Forecast evaluation tests in the presence of ARCH

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - In: Journal of forecasting 18 (1999) 6, pp. 435-445

Persistent link: https://www.econbiz.de/10001494029

Forecast evaluation tests in the presence of ARCH

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - 1997

Persistent link: https://www.econbiz.de/10000974766

Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

Leybourne, Stephen James; Mills, Terence C.; Newbold, Paul - 1996

Persistent link: https://www.econbiz.de/10000949555

Nunes, Luis C.; Kuan, Chung-ming; Newbold, Paul - 1993

Persistent link: https://www.econbiz.de/10000866015

Testing for unit roots with breaks : evidence on the great crash and the unit root hypothesis reconsidered

Nunes, Luis C. - In: Oxford bulletin of economics and statistics 59 (1997) 4, pp. 435-448

Persistent link: https://www.econbiz.de/10001230927

Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

Leybourne, Stephen James - In: Journal of econometrics 87 (1998) 1, pp. 191-203

Persistent link: https://www.econbiz.de/10001248301

Uncertainty about the persistence of economic shocks

Miller, John P. - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 435-440

Persistent link: https://www.econbiz.de/10001190283

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