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Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
16 references·4 citing·30 second hop
Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity (2001)Estimation for partially nonstationary mu…On adaptive estimation in nonstationary ARMA Models with GARCH errors (2003)On adaptive estimation in non…Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…Distribution theory for unit root tests with conditional heteroskedasticity (1999)Distribution theory for unit …Cointegration rank inference with stationary regressors in VAR models (1999)Cointegration rank inference …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model (1995)Estimation and Testing for Un…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (1992)VECTOR AUTOREGRESSIVE MODELS …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for a Unit Root Nonstationarity in Multivariate Autoregressive Time Series (1989)Testing for a Unit Root Nonst…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes (1988)Some Invariance Principles an…Conditional Heteroscedastic Time Series Models (1987)Conditional Heteroscedastic T…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013 (2015)Price cointegration between s…Mean-variance cointegration and the expectations hypothesis (2013)Mean-variance cointegration a…A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors (2001)A Survey of Recent Theoretica…Testing for a Unit Root with Near-Integrated Volatility (2000)Testing for a Unit Root with …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)International Technology Diffusion (2004)Energy consumption, income, and carbon emissions in the United States (2006)CO2 emissions, energy consumption, and output in France (2007)The impact of energy consumption, income and foreign direct investment on carbon dioxide emissions in Vietnam (2014)Causal relationship between CO2 emissions, real GDP, energy consumption, financial development, trade openness, and urbanization in Tunisia (2015)On a Mixture Autoregressive Conditional Heteroscedastic Model (2001)Recent Theoretical Results for Time Series Models with GARCH Errors (2002)DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS (2011)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1999Unit Roots, Cointegration, and Structural Change1,842 cited
  • 1992VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING460 cited
  • 1987Conditional Heteroscedastic Time Series Models264 cited
  • 1988Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes254 cited
  • 2003On adaptive estimation in nonstationary ARMA Models with GARCH errors143 cited
  • 1999Distribution theory for unit root tests with conditional heteroskedasticity123 cited
  • 1999Cointegration rank inference with stationary regressors in VAR models105 cited

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  • 1995Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model76 cited
  • 1989Testing for a Unit Root Nonstationarity in Multivariate Autoregressive Time Series55 cited
  • Cited by

    • 2015Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–201334 cited
    • 2001A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors34 cited
    • 2000Testing for a Unit Root with Near-Integrated Volatility34 cited
    • 2013Mean-variance cointegration and the expectations hypothesis30 cited