Moving average conditional heteroskedastic processes
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 49 (1995)
Issue (Month): 4 (October)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Yang, M. & Bewley, R., 1992. "Moving Average Conditional Heterscedastic Processes," Papers 92-23, New South Wales - School of Economics.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- 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.
- Shiqing Ling & Michael McAleer, 2001.
"Stationarity and the Existence of Moments of a Family of GARCH Processes,"
ISER Discussion Paper
0535, Institute of Social and Economic Research, Osaka University.
- Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001.
"Outliers And Conditional Autoregressive Heteroscedasticity In Time Series,"
Statistics and Econometrics Working Papers
ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
- Carnero, María Ángeles & Peña, Daniel & Ruiz, Esther, . "Outliers and conditional autoregressive heteroscedasticity in time series," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/151, Universidad Carlos III de Madrid.
- He, Changli & Teräsvirta, Timo, 1997.
"Properties of Moments of a Family of GARCH Processes,"
Working Paper Series in Economics and Finance
198, Stockholm School of Economics.
- He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus.
- Marian Vavra, 2013. "Testing for marginal asymmetry of weakly dependent processes," Working and Discussion Papers WP 1/2013, Research Department, National Bank of Slovakia.
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