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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form · Study

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ArticleBootstrapping autoregressions with conditional heteroskedasticity of unknown form

Śılvia Gonçalves2004

Article2004

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Śılvia Gonçalves · Lutz Kilian

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

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 631 citations exist upstream.

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 1988Dividend yields and expected stock returns 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

Cited by

2012WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS 2013Oil shocks, policy uncertainty and stock market return 2005Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis 2008A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries 2011Does the Fed Respond to Oil Price Shocks?2009Oil shocks and external balances 2010Modelling Nonlinear Economic Time Series 2012Credit spread interdependencies of European states and banks during the financial crisis

Details

Year2004

Typearticle

Published2004-04-02

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations631

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2003.10.030

openalex_workW3122904576

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