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On diagnostic checking of vector ARMA-GARCH models with Gaussian and Student-t innovations

Wang, Yongning; Tsay, Ruey S. - In: Econometrics : open access journal 1 (2013) 1, pp. 1-31

model checking. A residual-based bootstrap method is provided and demonstrated as an effective way to approximate the …

Persistent link: https://www.econbiz.de/10009754537

A residual-based test for multivariate GARCH models using transformed quadratic residuals

Ke, Rui; Jia, Jing; Tan, Changchun - In: Economics letters 206 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012886565

Generalized covariance estimator

Gouriéroux, Christian; Jasiak, Joann - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1315-1327

Persistent link: https://www.econbiz.de/10014448640

Automatic specification testing for vector autoregressions and multivariate nonlinear time series models

Escanciano, Juan Carlos; Lobato, Ignacio N.; Zhu, Lin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 426-437

Persistent link: https://www.econbiz.de/10010337859

Improved estimation of the extreme value index using related variables

Ahmed, Hanan; Einmahl, John H. J. - 2018

Persistent link: https://www.econbiz.de/10011879741

Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime

Brahimi, Brahim; Abdelli, Jihane - In: Insurance / Mathematics & economics 70 (2016), pp. 135-143

Persistent link: https://www.econbiz.de/10011597203

Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics : open access journal 6 (2018) 2, pp. 1-11

bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution … inequality index. Its primary advantage is that the scale parameter does not need to be estimated to perform parametric bootstrap … suggest that this feature provides an advantage over the parametric bootstrap using the maximum likelihood estimator. We also …

Persistent link: https://www.econbiz.de/10011823357

Linear double autoregression

Zhu, Qianqian; Zheng, Yao; Li, Guodong - In: Journal of econometrics 207 (2018) 1, pp. 162-174

Persistent link: https://www.econbiz.de/10012116135

Regular variation of popular GARCH processes allowing for distributional asymmetry

Prono, Todd - 2017 - First version: August 2017

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Persistent link: https://www.econbiz.de/10011803123

Semiparametric GARCH via Bayesian model averaging

Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452

Persistent link: https://www.econbiz.de/10012499090