Testing for Heteroskedasticity on the Bucharest Stock Exchange
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References listed on IDEAS
- Baillie, Richard T. & Bollerslev, Tim, 1992.
"Prediction in dynamic models with time-dependent conditional variances,"
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- Viorica Chirila & Ciprian Chirila, 2014. "The Use of Risk and Return for Testing the Stability of Stock Markets," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(2), pages 182-192, April.
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More about this item
KeywordsExponential GARCH; financial econometrics; Romanian stock exchange;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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