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A Note On Inequality Constraints In The Garch Model

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  • Tsai, Henghsiu
  • Chan, Kung-Sik

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 24 (2008)
Issue (Month): 03 (June)
Pages: 823-828

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Handle: RePEc:cup:etheor:v:24:y:2008:i:03:p:823-828_08

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Cited by:
  1. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79850, Verein für Socialpolitik / German Economic Association.
  2. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," Working Paper Series in Economics and Finance 675, Stockholm School of Economics, revised 15 Nov 1007.
  3. Conrad, Christian & Karanasos, Menelaos, 2010. "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, vol. 26(03), pages 838-862, June.
  4. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.
  5. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
  6. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods and Applications, Springer, vol. 19(3), pages 399-430, August.

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