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Modeling persistent interest rates with double-autoregressive processes

Hansen, Anne Lundgaard - In: Journal of banking & finance 133 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013257376

GARCH with omitted persistent covariate

Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254

Persistent link: https://www.econbiz.de/10010493650

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistent link: https://www.econbiz.de/10011476095

Exchange rates dynamics revisited : a panel data test of the fractional integration order

Andersson, Fredrik N. G. - In: Empirical economics : a journal of the Institute for … 47 (2014) 2, pp. 389-409

Persistent link: https://www.econbiz.de/10010391171

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - 2014

and stationarity tests possess null distributions depending on the so-called variance profile. On the contrary, this is …

Persistent link: https://www.econbiz.de/10010375374

A nonparametric unit root test under nonstationary volatility

Eroğlu, Burak Alparslan; Yigit, Taner M. - In: Economics letters 140 (2016), pp. 6-10

Persistent link: https://www.econbiz.de/10011615687

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84

Persistent link: https://www.econbiz.de/10011617209

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem

Harris, David; Kew, Hsein; Taylor, Robert - 2020

Persistent link: https://www.econbiz.de/10012606901

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem

Harris, David; Kew, Hsein; Taylor, Robert - In: Journal of econometrics 219 (2020) 2, pp. 354-388

Persistent link: https://www.econbiz.de/10012483394