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ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS
16 references·1 citing·33 second hop
ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS (2001)ONE-SIDED TESTING FOR ARCH EFFECTS USING …An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets (2000)An alternative maximum likeli…The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income (1998)The Decomposition of Economic…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (1996)Consistency and Asymptotic No…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression (1991)Testing for strong serial cor…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The moment structure of ARCH processes (1985)The moment structure of ARCH …Small-Sample Properties of ARCH Estimators and Tests (1985)Small-Sample Properties of AR…ARMA MODELS WITH ARCH ERRORS (1984)ARMA MODELS WITH ARCH ERRORSDIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach (2004)Analysis of real GDP growth r…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)ARCH modeling in finance (1992)Quadratic ARCH Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)A multiple indicators model for volatility using intra-daily data (2005)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)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A test for volatility spillover with application to exchange rates (2001)Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Econometric Analysis of Cross Section and Panel Data (2001)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Parametric and Nonparametric Volatility Measurement (2010)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)The MIDAS Touch: Mixed Data Sampling Regression Models (2004)
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References

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185 cited
  • 1985The moment structure of ARCH processes160 cited
  • 2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets116 cited
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    • 2004Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach24 cited