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Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755835
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Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755838
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Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
González-Rivera, Gloria; Drost, Feike C. - In: Journal of econometrics 93 (1999) 1, pp. 93-111
Persistent link: https://www.econbiz.de/10001406643
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Identification, estimation and testing of conditionally heteroskedastic factor models
Sentana, Enrique; Fiorentini, Gabriele - In: Journal of econometrics 102 (2001) 2, pp. 143-164
Persistent link: https://www.econbiz.de/10001580599
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Finite sample performance of the MLE in GARCH(1,1) : when the parameter on the lagged squared residual is close to zero
Kim, Suduk - In: Journal of economic theory and econometrics : journal … 4 (1998) 2, pp. 131-151
Persistent link: https://www.econbiz.de/10001562242
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Essays on Random Effects models and GARCH
Skoglund, Jimmy - 2001
Persistent link: https://www.econbiz.de/10001565684
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Smooth-transition GARCH models
González-Rivera, Gloria (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 61-78
Persistent link: https://www.econbiz.de/10001769701
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Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
Chan, Felix; McAleer, Michael - In: Applied financial economics 13 (2003) 8, pp. 581-592
Persistent link: https://www.econbiz.de/10001770826
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A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362
Persistent link: https://www.econbiz.de/10001695276
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Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis (contributor); Rahbek, Anders (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284