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Estimation of GARCH process in the presence of structural change


  • Simonato, Jean-Guy


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  • Simonato, Jean-Guy, 1992. "Estimation of GARCH process in the presence of structural change," Economics Letters, Elsevier, vol. 40(2), pages 155-158, October.
  • Handle: RePEc:eee:ecolet:v:40:y:1992:i:2:p:155-158

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    References listed on IDEAS

    1. Persson, Lars, 2004. "Predation and mergers: Is merger law counterproductive?," European Economic Review, Elsevier, vol. 48(2), pages 239-258, April.
    2. Dan Kovenock & Suddhasatwa Roy, 2005. "Free Riding in Noncooperative Entry Deterrence with Differentiated Products," Southern Economic Journal, Southern Economic Association, vol. 72(1), pages 119-137, July.
    3. Paul Belleflamme, 2002. "Pricing Information Goods in the Presence of Copying," Working Papers 463, Queen Mary University of London, School of Economics and Finance.
    4. Church, Jeffrey & Ware, Roger, 1996. "Delegation, market share and the limit price in sequential entry models," International Journal of Industrial Organization, Elsevier, vol. 14(5), pages 575-609, July.
    5. Elie Appelbaum & Eliakim Katz, 2003. "Firm Location Choice in the Presence of a Free Rider Problem," Working Papers 2003_6, York University, Department of Economics.
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    Cited by:

    1. Pedro J. F. de Lima & Michelle L. Barnes, 2000. "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics Working Papers 2000-05, University of Adelaide, School of Economics.
    2. Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds, 2009. "Introducing the GED-Copula with an application to Financial Contagion in Latin America," MPRA Paper 46669, University Library of Munich, Germany, revised 01 Feb 2010.
    3. John R. Freeman & Jude C. Hays & Helmut Stix, 1999. "Democracy and Markets: The Case of Exchange Rates," Working Papers 39, Oesterreichische Nationalbank (Austrian Central Bank).
    4. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
    5. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
    6. Marvasti, Akbar & Lamberte, Antonio, 2016. "Commodity price volatility under regulatory changes and disaster," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 355-361.
    7. Morana, Claudio & Beltratti, Andrea, 2002. "The effects of the introduction of the euro on the volatility of European stock markets," Journal of Banking & Finance, Elsevier, vol. 26(10), pages 2047-2064, October.
    8. repec:eee:appene:v:212:y:2018:i:c:p:244-264 is not listed on IDEAS

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