IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v690y2026ics0378437126001913.html

Addendum to “Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data” [Phys. A: Stat. Mech. Appl. 505 (2018) 632–647]

Author

Listed:
  • Charfeddine, Lanouar
  • Ben Khediri, Karim
  • Aye, Goodness C.
  • Gupta, Rangan

Abstract

We provide clarifications and report new results for Section 4.3 in Charfeddine et al. (2018) [1] about the GARCH(1,1)-M state-space model. First, we clarify that the results reported in the original paper are based on a sequential estimation of the three equations defining the GARCH(1,1)-M state-space specification. Then, we report new results from a one-step (simultaneous) estimation. Finally, we discuss the differences between the two approaches and their implications.

Suggested Citation

  • Charfeddine, Lanouar & Ben Khediri, Karim & Aye, Goodness C. & Gupta, Rangan, 2026. "Addendum to “Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data” [Phys. A: Stat. Mech. Appl. 505 (2018) 632–647]," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 690(C).
    • Handle: RePEc:eee:phsmap:v:690:y:2026:i:c:s0378437126001913
    DOI: 10.1016/j.physa.2026.131455
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437126001913
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2026.131455?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:690:y:2026:i:c:s0378437126001913. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.