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A robust LR test for the GARCH model
9 references·5 citing·35 second hop
A robust LR test for the GARCH model (2005)A robust LR test for the GARCH modelGARCH processes: structure and estimation (2003)GARCH processes: structure an…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Econometric Analysis of Cross Section and Panel Data (2001)Econometric Analysis of Cross…The normal inverse gaussian lévy process: simulation and approximation (1997)The normal inverse gaussian l…Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation (1995)Finite-Sample Properties of t…Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation (1995)Finite-Sample Properties of t…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Mean-variance cointegration and the expectations hypothesis (2013)Mean-variance cointegration a…Modelling Australian stock market volatility (2011)Modelling Australian stock ma…The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application (2006)The Fractional Ornstein-Uhlen…Realized Bond-Stock Correlation: Macroeconomic Announcement Effects (2006)Realized Bond-Stock Correlati…The Information Content of Earnings Announcements in Denmark (2004)The Information Content of Ea…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)Hyperbolic Distributions in Finance (1995)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Stochastic Integration and Differential Equations : A New Approach (2014)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)ARCH modeling in finance (1992)Measuring and Testing the Impact of News on Volatility (1993)Forecasting daily exchange rate volatility using intraday returns (2001)Common factor components versus information shares: a reply (2002)Cross-listing, price discovery and the informativeness of the trading process (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Corporate social responsibility and access to finance (2013)The China Syndrome: Local Labor Market Effects of Import Competition in the United States (2013)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)The Econometrics of Financial Markets (2012)Stock Price Response to Earnings Announcements: Evidence From the Nigerian Stock Market (2013)The persistence in volatility of the US term premium 1970–1986 (1995)Assessing the bias of maximum likelihood estimates of contaminated garch models (2000)
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References

  • 2001Econometric Analysis of Cross Section and Panel Data27,575 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 2003GARCH processes: structure and estimation482 cited
  • 1997The normal inverse gaussian lévy process: simulation and approximation284 cited
  • 1995Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation124 cited
  • 1995Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation43 cited

Cited by

  • 2004The Information Content of Earnings Announcements in Denmark37 cited
  • 2011Modelling Australian stock market volatility31 cited
  • 2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application31 cited
  • 2013Mean-variance cointegration and the expectations hypothesis30 cited
  • 2006Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

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26 cited