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Testing for linear autoregressive dynamics under heteroskedasticity
16 references·6 citing·27 second hop
Testing for linear autoregressive dynamics under heteroskedasticity (2000)Testing for linear autoregressive dynamic…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Asymptotic theory for multivariate GARCH processes (2003)Asymptotic theory for multiva…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models (1998)Multivariate stochastic volat…Estimation of stochastic volatility models via Monte Carlo maximum likelihood (1998)Estimation of stochastic vola…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Good News, Bad News, Volatility, and Betas (1995)Good News, Bad News, Volatili…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Common Persistence in Conditional Variances (1993)Common Persistence in Conditi…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…New testing approaches for mean–variance predictability (2020)New testing approaches for me…Consistent nonparametric change point detection combining CUSUM and marked empirical processes (2020)Consistent nonparametric chan…Deciding between GARCH and stochastic volatility via strong decision rules (2009)Deciding between GARCH and st…Bootstrapping Autoregression under Non-stationary Volatility (2008)Bootstrapping Autoregression …On the (nonlinear) relationship between exchange rate uncertainty and trade — An investigation of US trade figures in the group of seven (2003)On the (nonlinear) relationsh…A Generalized Dynamic Conditional Correlation Model for Many Asset Returns (2003)A Generalized Dynamic Conditi…ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Econometric Analysis of Cross Section and Panel Data (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)Generalized impulse response analysis in linear multivariate models (1998)Introductory Econometrics for Finance (2008)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
  • 1995Good News, Bad News, Volatility, and Betas406 cited
  • 1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood331 cited
  • 1993Common Persistence in Conditional Variances313 cited
  • 2003Asymptotic theory for multivariate GARCH processes301 cited

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1998
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
120 cited

Cited by

  • 2008Bootstrapping Autoregression under Non-stationary Volatility35 cited
  • 2003A Generalized Dynamic Conditional Correlation Model for Many Asset Returns34 cited
  • 2009Deciding between GARCH and stochastic volatility via strong decision rules24 cited
  • 2020New testing approaches for mean–variance predictability23 cited
  • 2003On the (nonlinear) relationship between exchange rate uncertainty and trade — An investigation of US trade figures in the group of seven13 cited
  • 2020Consistent nonparametric change point detection combining CUSUM and marked empirical processes11 cited