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Asymptotic inference for a sign-double autoregressive (SDAR) model of order one

Iglesias, Emma M. - In: Econometric reviews 44 (2025) 3, pp. 312-334

Persistent link: https://www.econbiz.de/10015196603

Testing of the mean reversion parameter in continuous time models

Iglesias, Emma M. - In: Economics letters 122 (2014) 2, pp. 187-189

Persistent link: https://www.econbiz.de/10010395196

Finite sample theory of QMLEs in ARCH models with an exogenous variable in the conditional variance equation

Iglesias, Emma M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10009513585

Modelling the Volatility-Return Trade-Off When Volatility May Be Nonstationary

Dahl, Christian M.; Iglesias, Emma M. - 2009

In this paper a new GARCH–M type model, denoted the GARCH-AR, is proposed. In particular, it is shown that it is possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized disturbance process. Importantly, the volatility in the...

Persistent link: https://www.econbiz.de/10014199817

The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean models

Dahl, Christian M.; Iglesias, Emma M. - In: Journal of financial econometrics 20 (2022) 1, pp. 139-159

Persistent link: https://www.econbiz.de/10012878189

Asymptotic normality of the QMLE in the level-effect ARCH model

Dahl, Christian M.; Iglesias, Emma M. - 2010

Persistent link: https://www.econbiz.de/10008651667

Modeling the volatility-return trade-off when volatility may be nonstationary

Dahl, Christian M.; Iglesias, Emma M. - In: Journal of time series econometrics 3 (2011) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10009623574

Modelling the volatility-return trade-off when volatility may be nonstationary

Dahl, Christian M.; Iglesias, Emma M. - 2009

Persistent link: https://www.econbiz.de/10003911875