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Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism

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  • Ostermark, Ralf
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 38 (2001)
    Issue (Month): 1 (November)
    Pages: 71-93

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    Handle: RePEc:eee:csdana:v:38:y:2001:i:1:p:71-93

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    1. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    3. Ostermark, Ralf & Hoglund, Rune, 1997. "Multivariate EGARCHX-Modelling of the International Asset Return Signal Response Mechanism," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(3), pages 249-62, July.
    4. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of a Modified Dickey-Fuller Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(3), pages 411-19, August.
    5. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    6. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
    7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    8. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    9. Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
    10. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
    11. Ostermark, Ralf, 1999. "Solving Irregular Econometric and Mathematical Optimization Problems with a Genetic Hybrid Algorithm," Computational Economics, Society for Computational Economics, vol. 13(2), pages 103-15, April.
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    Cited by:
    1. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.

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