Similar Search Results

Contemporaneous-threshold smooth transition GARCH models

Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10009515540

Cross sectional aggregation and persistence in conditional variance

Karanasos, Menelaos; Psaradakis, Zacharias G.; Sola, Martin - 2000

Persistent link: https://www.econbiz.de/10001488560

Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach

Psaradakis, Zacharias G.; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000906276

Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach

Psaradakis, Zacharias G.; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000930379

Modelling long memory in stock market volatility : a fractionally integrated generalised arch approach

Psaradakis, Zacharias G.; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000151421

A test for volatility spillovers

Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola - In: Economics letters 76 (2002) 1, pp. 77-84

Persistent link: https://www.econbiz.de/10001672147

Predicting Markov volatility switches using monetary policy variables

Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola - In: Economics letters 95 (2007) 1, pp. 110-116

Persistent link: https://www.econbiz.de/10003448218

A Test for Volatility Spillovers

Spagnolo, Fabio; Sola, Martin; Spagnolo, Nicola - 2004

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed

Persistent link: https://www.econbiz.de/10014068290

On regression-based tests for persistence in logarithmic volatility models

Psaradakis, Zacharias G.; Tzavalis, Elias - In: Econometric reviews 18 (1999) 4, pp. 441-448

Persistent link: https://www.econbiz.de/10001413477

Fitting the moments : a comparison of ARCH and regime switching models for daily stock returns

Sola, Martin; Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10000914034