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Detecting Parameter Shift in Generalized Autoregressive Conditional Heteroskedasticity Models

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  • Chu, C.S.J.

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  • Chu, C.S.J., 1993. "Detecting Parameter Shift in Generalized Autoregressive Conditional Heteroskedasticity Models," Papers 9318, Southern California - Department of Economics.
  • Handle: RePEc:fth:socaec:9318
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    References listed on IDEAS

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    1. George A. Akerlof & Janet L. Yellen, 1990. "The Fair Wage-Effort Hypothesis and Unemployment," The Quarterly Journal of Economics, Oxford University Press, vol. 105(2), pages 255-283.
    2. Gary S. Becker, 1981. "A Treatise on the Family," NBER Books, National Bureau of Economic Research, Inc, number beck81-1, January.
    3. Gary S. Becker, 1974. "Crime and Punishment: An Economic Approach," NBER Chapters,in: Essays in the Economics of Crime and Punishment, pages 1-54 National Bureau of Economic Research, Inc.
    4. Bolton, Gary E, 1991. "A Comparative Model of Bargaining: Theory and Evidence," American Economic Review, American Economic Association, vol. 81(5), pages 1096-1136, December.
    5. Varian, Hal R., 1974. "Equity, envy, and efficiency," Journal of Economic Theory, Elsevier, vol. 9(1), pages 63-91, September.
    6. Garner, C. Alan, 1986. "Equity in economic relationships : Towards a positive theory," Journal of Economic Behavior & Organization, Elsevier, vol. 7(3), pages 253-264, September.
    7. Brenner, R., 1990. "The Long Road From Serfdom and How to Shorten It," Cahiers de recherche 9004, Universite de Montreal, Departement de sciences economiques.
    8. Levine, David I., 1991. "Cohesiveness, productivity, and wage dispersion," Journal of Economic Behavior & Organization, Elsevier, vol. 15(2), pages 237-255, March.
    9. Lazear, Edward P, 1989. "Pay Equality and Industrial Politics," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 561-580, June.
    10. Kirchsteiger, Georg, 1994. "The role of envy in ultimatum games," Journal of Economic Behavior & Organization, Elsevier, vol. 25(3), pages 373-389, December.
    11. Williamson, Oliver E, 1983. "Credible Commitments: Using Hostages to Support Exchange," American Economic Review, American Economic Association, vol. 73(4), pages 519-540, September.
    12. Brennan, Geoffrey, 1973. "Pareto desirable redistribution: the case of malice and envy," Journal of Public Economics, Elsevier, vol. 2(2), pages 173-183, April.
    13. Tirole, Jean, 1986. "Hierarchies and Bureaucracies: On the Role of Collusion in Organizations," Journal of Law, Economics, and Organization, Oxford University Press, vol. 2(2), pages 181-214, Fall.
    14. Brenner, R., 1990. "The Long Road From Serfdom And How To Shorten It," Cahiers de recherche 9004, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
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    econometrics;

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