Testing for EGARCH Against Stochastic Volatility Models
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- Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
- Lama, A. & Jha, G.K. & Paul, R.K. & Gurung, B., 2015. "Modelling and Forecasting of Price Volatility: An Application of GARCH and EGARCH Models," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 28(1).
- William C. Horrace & Ian A. Wright, 2016. "Stationary Points for Parametric Stochastic Frontier Models," Center for Policy Research Working Papers 196, Center for Policy Research, Maxwell School, Syracuse University.
- BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Caporin, M. & McAleer, M.J., 2010.
"Model Selection and Testing of Conditional and Stochastic Volatility Models,"
Econometric Institute Research Papers
EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
- Ahmed, Shamim & Valente, Giorgio, 2015. "Understanding the price of volatility risk in carry trades," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 118-129.
- Shi, Xiuhong & Kobayashi, Masahito, 2009. "Testing for jumps in the EGARCH process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2797-2808.
- Daisuke Nagakura, 2008. "A note on the relationship between the information matrx test and a score test for parameter constancy," Economics Bulletin, AccessEcon, vol. 3(5), pages 1-7.
- repec:ebl:ecbull:v:3:y:2008:i:5:p:1-7 is not listed on IDEAS
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