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Testing separate time series models

McAleer, Michael; MacKenzie, Colin R.; Hall, Anthony D. - 1986 - Rev.

Persistent link: https://www.econbiz.de/10000715058

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

A nonlinear time series model of El Niño

Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998

Persistent link: https://www.econbiz.de/10000994162

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

Hall, Anthony D. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 95-106

Persistent link: https://www.econbiz.de/10001090237

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