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High moment partial sum processes of residuals in GARCH models and their applications
10 references·3 citing·35 second hop
High moment partial sum processes of residuals in GARCH models and their applications (2005)High moment partial sum processes of resi…The efficiency of the estimators of the parameters in GARCH processes (2004)The efficiency of the estimat…Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Inference in Arch and Garch M…GARCH processes: structure and estimation (2003)GARCH processes: structure an…Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence (2000)Residual-Based Tests for Norm…On the Cusum test for parameter changes in garch(1,1) Models (2000)On the Cusum test for paramet…Change-Point Estimation in ARCH Models (2000)Change-Point Estimation in AR…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS (2015)DETECTING FOR SMOOTH STRUCTUR…Comparison of specification tests for GARCH models (2013)Comparison of specification t…Specification tests for the error distribution in GARCH models (2010)Specification tests for the e…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)The Behavior of Stock-Market Prices (1965)AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covariance structure of multivariate time series models (2009)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 Simultaneous Generalized ARCH (1995)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Bootstrap-After-Bootstrap Prediction Intervals for Autoregressive Models (2001)HIGH MOMENT PARTIAL SUM PROCESSES OF RESIDUALS IN GARCH MODELS AND THEIR APPLICATIONS 1 (2006)The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach (2015)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring and Testing the Impact of News on Volatility (1993)SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS (2004)Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (2006)Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods (2013)ARCH modeling in finance (1992)Structural breaks and GARCH models of exchange rate volatility (2008)Extensions of some classical methods in change point analysis (2014)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)The Cusum Test for Parameter Change in Regression Models with ARCH Errors (2004)MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES (2006)Econometric Analysis of Cross Section and Panel Data (2001)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 2003GARCH processes: structure and estimation482 cited
  • 2003Inference in Arch and Garch Models with Heavy-Tailed Errors362 cited
  • 2000Change-Point Estimation in ARCH Models238 cited
  • 2004The efficiency of the estimators of the parameters in GARCH processes176 cited
  • 2000On the Cusum test for parameter changes in garch(1,1) Models79 cited
  • 2000Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence74 cited

Cited by

  • 2010Specification tests for the error distribution in GARCH models39 cited
  • 2015DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS38 cited
  • 2013Comparison of specification tests for GARCH models24 cited

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