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Joint modeling of cointegration and conditional heteroscedasticity with applications

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  • Heung Wong
  • W. Li
  • Shiqing Ling

Abstract

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File URL: http://hdl.handle.net/10.1007/BF02506881
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Bibliographic Info

Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 57 (2005)
Issue (Month): 1 (March)
Pages: 83-103

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Handle: RePEc:spr:aistmt:v:57:y:2005:i:1:p:83-103

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Related research

Keywords: Cointegration; full rank maximum likelihood estimator; least squares estimator; partially nonstationary; reduced rank MLE; vector AR-GARCH model;

References

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  1. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 5-59.
  2. Cushman, David O. & Sang Sub Lee & Thorgeirsson, Thorsteinn, 1996. "Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(3), pages 337-368, June.
  3. Robert-Jan Gerrits & Ayse Yuce, 1999. "Short- and long-term links among European and US stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 1-9.
  4. Wu, Chunchi & Su, Youg-Chern, 1998. "Dynamic relations among international stock markets," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 63-84.
  5. Jorion, Philippe & Schwartz, Eduardo, 1986. " Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, American Finance Association, vol. 41(3), pages 603-14, July.
  6. Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.
  7. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
  8. Baillie, R.T. & Pecchenino, R.A., 1991. "The Search for Equilibrium Relationships in International Finance : The Case of the Monetary Model," Papers, Michigan State - Econometrics and Economic Theory 9003, Michigan State - Econometrics and Economic Theory.
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Cited by:
  1. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," University of Regensburg Working Papers in Business, Economics and Management Information Systems 473, University of Regensburg, Department of Economics.
  2. Mikael Bask & Jarko Fidrmuc, 2009. "Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs," Open Economies Review, Springer, vol. 20(5), pages 589-605, November.
  3. Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers, Department of Economics, City University London 13/08, Department of Economics, City University London.

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