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ArticleEvaluating GARCH models

Stefan Lundbergh2002

Article2002

Evaluating GARCH models

Stefan Lundbergh · Timo Teräsvirta Y

215 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993Measuring and Testing the Impact of News on Volatility 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1988Testing Linearity Against Smooth Transition Autoregressive Models 1990Persistence in Variance, Structural Change, and the GARCH Model 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

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2009Practical Issues in the Analysis of Univariate GARCH Models 2006A Lagrange multiplier test for causality in variance 2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries 2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE 2015Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis

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2010Modelling Nonlinear Economic Time Seriesbook · 13 shared references 2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODELarticle · 11 shared references 2009An Introduction to Univariate GARCH Modelschapter · 10 shared references 2014Specification and testing of multiplicative time-varying GARCH models with applicationsarticle · 10 shared references 2013Modelling volatility by variance decompositionarticle · 9 shared references 1997A new non-linear GARCH modelthesis · 9 shared references

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Year2002

Typearticle

Published2002-09-09

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations215

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(02)00096-9

openalex_workW2103074656

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