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Small-Sample Properties of ARCH Estimators and Tests

Citations

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Cited by:

  1. Lumsdaine, Robin L. & Ng, Serena, 1999. "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
  2. M. Badrul Haque & Charles R. Wartenberg, 1992. "Direct Effects Of Debt Overhang And Imf Programs," Review of Financial Economics, John Wiley & Sons, vol. 1(2), pages 30-39, March.
  3. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 691-707.
  4. Peter Hans Matthews, 2005. "Paradise lost and found? The econometric contributions of Clive W. J. Granger and Robert F. Engle," Review of Political Economy, Taylor & Francis Journals, vol. 17(1), pages 1-28.
  5. Gregory, Allan W. & McCurdy, Thomas H., 1986. "The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany," European Economic Review, Elsevier, vol. 30(2), pages 365-381, April.
  6. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  7. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
  8. Chen, Min & An, Hong Zhi, 1997. "A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 321-331, May.
  9. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
  10. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
  11. Linton, Oliver, 1997. "An Asymptotic Expansion in the GARCH(l, 1) Model," Econometric Theory, Cambridge University Press, vol. 13(4), pages 558-581, February.
  12. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, June.
  13. Zhang, Feng, 2007. "An application of vector GARCH model in semiconductor demand planning," European Journal of Operational Research, Elsevier, vol. 181(1), pages 288-297, August.
  14. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
  15. Ali Alami & Eric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
  16. Y. K. Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying correlations," Econometrics 0004010, University Library of Munich, Germany.
  17. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  18. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, January.
  19. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  20. Weiß, Christian H. & Schweer, Sebastian, 2016. "Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 124-130.
  21. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
  22. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  23. Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
  24. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
  25. N. Vijayamohanan Pillai, 2010. "Electricity Demand Analysis and Forecasting- The Tradition is Questioned," Working Papers id:2966, eSocialSciences.
  26. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society.
  27. Mendes, Beatriz Vaz de Melo, 1998. "Financial Modeling Using Sampling-Importance Resampling," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 18(1), May.
  28. Atalla, Tarek & Joutz, Fred & Pierru, Axel, 2016. "Does disagreement among oil price forecasters reflect volatility? Evidence from the ECB surveys," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1178-1192.
  29. Yiwen Cui & Lei Li & Zijie Tang, 2021. "Risk Analysis of China Stock Market During Economic Downturns–Based on GARCH-VaR and Wavelet Transformation Approaches," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(4), pages 322-336, April.
  30. Gregory, Allan W, 1989. "A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 107-115, January.
  31. Rodrigo Alfaro & Carmen Gloria Silva, 2008. "Measuring Equity Volatility: the case of Chilean Stock Index," Working Papers Central Bank of Chile 462, Central Bank of Chile.
  32. Edgerton, David L., 1996. "Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?," Economics Letters, Elsevier, vol. 53(2), pages 153-159, November.
  33. Duchesne, Pierre, 2004. "On robust testing for conditional heteroscedasticity in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 227-256, June.
  34. 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, vol. 52(1-2), pages 5-59.
  35. N. Vijayamohanan Pillai, 2001. "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers 312, Centre for Development Studies, Trivendrum, India.
  36. Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017. "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
  37. Vilasuso, Jon, 2001. "Causality tests and conditional heteroskedasticity: : Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 101(1), pages 25-35, March.
  38. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
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