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ArticleMultimodality in GARCH regression models

Jurgen A. Doornik2008

Article2008

Multimodality in GARCH regression models

Jurgen A. Doornik · Marius Ooms

38 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Statistical and numerical algorithms

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2006Analysis of Financial Time Series 2005Analysis of Financial Time Series 1992Inequality Constraints in the Univariate GARCH Model 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model 1999ARCH Models and Financial Applications 1997ARCH Models and Financial Applications

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2010DOMESTIC OR U.S. NEWS: WHAT DRIVES CANADIAN FINANCIAL MARKETS?2015The day-of-the-week effect is weak: Evidence from the European real estate sector 2010Prediction intervals in conditionally heteroscedastic time series with stochastic components 2008Financial Market Reaction to Federal Reserve Communications: Does the Crisis Make a Difference?2008Macroeconomic Surprises and the Inflation Compensation Curve in the Euro Area

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Year2008

Typearticle

Published2008-07-01

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations38

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2008.06.002

openalex_workW2059607233

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