Nonstationary nonlinear heteroskedasticity
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- Tim Bollerslev, 1986.
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EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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- He, Changli & Terasvirta, Timo, 1999.
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- Peter C.B. Phillips & Joon Y. Park, 1998.
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1182, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(03), pages 269-298, June.
- 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.
- Lothian, James R., 1997. "Multi-country evidence on the behavior of purchasing power parity under the current float," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 19-35, February.
- Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
- He, Changli & Ter svirta, Timo, 1999. "FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS," Econometric Theory, Cambridge University Press, vol. 15(06), pages 824-846, December.
- Hansen, Bruce E, 1995. "Regression with Nonstationary Volatility," Econometrica, Econometric Society, vol. 63(5), pages 1113-1132, September.
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