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Citations for "Small-Sample Properties of ARCH Estimators and Tests"

by Robert F. Engle & David F. Hendry & David Trumble

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  1. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  2. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  3. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  4. Peter Hans Matthews, 2004. "Paradise Lost and Found? The Econometric Contributions of Clive W.J. Granger and Robert F. Engle," Middlebury College Working Paper Series 0416, Middlebury College, Department of Economics.
  5. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," NBER Working Papers 10423, National Bureau of Economic Research, Inc.
  6. Ericsson, Neil R, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 691-707, August.
  7. Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
  8. Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics.
  9. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
  10. Rodrigo Alfaro & Carmen Gloria Silva, 2008. "Measuring Equity Volatility: the case of Chilean Stock Index," Working Papers Central Bank of Chile 462, Central Bank of Chile.
  11. Ali Alami & Éric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
  12. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
  13. Chen, Min & An, Hong Zhi, 1997. "A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 321-331, May.
  14. Vilasuso, Jon, 2001. "Causality tests and conditional heteroskedasticity: : Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 101(1), pages 25-35, March.
  15. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  16. Yiu Kuen Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometric Society World Congress 2000 Contributed Papers 0250, Econometric Society.
  17. Duchesne, Pierre, 2004. "On robust testing for conditional heteroscedasticity in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 227-256, June.
  18. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
  19. Linton, Oliver, 1997. "An Asymptotic Expansion in the GARCH(l, 1) Model," Econometric Theory, Cambridge University Press, vol. 13(04), pages 558-581, August.
  20. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society.
  21. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
  22. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
  23. Edgerton, David L., 1996. "Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?," Economics Letters, Elsevier, vol. 53(2), pages 153-159, November.
  24. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
  25. repec:cup:cbooks:9780521779654 is not listed on IDEAS
  26. N. Vijayamohanan Pillai, 2001. "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers 312, Centre for Development Studies, Trivendrum, India.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.