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Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form · Study

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PreprintBootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Śılvia Gonçalves2003

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Preprintgreen2003

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Śılvia Gonçalves · Lutz Kilian

69 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Advanced Statistical Methods and Models

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References

1986Generalized autoregressive conditional heteroskedasticity 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1983Empirical exchange rate models of the seventies 1993Measuring and Testing the Impact of News on Volatility 1988Dividend yields and expected stock returns 1988A Capital Asset Pricing Model with Time-Varying Covariances 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

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2018Precious metal returns and oil shocks: A time varying connectedness approach 2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 2018Characteristics Are Covariances: A Unified Model of Risk and Return 2004The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models 2017The Time-Varying Effect of Monetary Policy on Asset Prices

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Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations69

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.358520

openalex_workW2153204303

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2014Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

2014Analysing and Forecasting Price Dynamics Across Euro Area Countries and Sectors: A Panel VAR Approach