On the Origins of Conditional Heteroscedasticity in Time Series
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- Richard Ashley, 2012. "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, vol. 28, pages 5-25.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Malliaris, A.G. & Kyrtsou, C., 2009. "Editorial introduction of the special issue: "Energy sector pricing and macroeconomic dynamics"," Energy Economics, Elsevier, vol. 31(6), pages 825-826, November.
- Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
- Catherine Kyrtsou & Michel Terraza, 2010.
"Seasonal Mackey–Glass–GARCH process and short-term dynamics,"
Springer, vol. 38(2), pages 325-345, April.
- Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
More about this item
Keywordsnonlinearity; nonlinear serial dependence; conditional heteroscedasticity; ARCH models; GARCH models.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
- NEP-ECM-2010-10-23 (Econometrics)
- NEP-ETS-2010-10-23 (Econometric Time Series)
- NEP-ORE-2010-10-23 (Operations Research)
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