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A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - In: Econometric reviews 36 (2017) 6/9, pp. 599-621

Persistent link: https://www.econbiz.de/10011795292

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

Testing for nonlinearity in conditional covariances

Sanhaji, Bilel - In: Journal of time series econometrics 9 (2017) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011701865

Testing for long-range dependence in financial time series

Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 93-106

Persistent link: https://www.econbiz.de/10012294575

Comparing predictive accuracy under long memory : with an application to volatility forecasting

Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016

This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...

Persistent link: https://www.econbiz.de/10011430242

Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

Atak, Alev; Kapetanios, George - In: Economics letters 120 (2013) 2, pp. 224-228

Persistent link: https://www.econbiz.de/10010128339

An econometric approach to incorporating non-normality in VaR measurement

Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98

Persistent link: https://www.econbiz.de/10011543127

On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices

Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267

Persistent link: https://www.econbiz.de/10011498510