IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Evaluating GARCH models"

by Lundbergh, Stefan & Teräsvirta, Timo

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
  2. Pentti Saikkonen & Markku Lanne, 2004. "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings 469, Econometric Society.
  3. Juan Carlos Escanciano, 2006. "Joint Diagnostic Tests for Conditional Mean and Variance Specifications," Faculty Working Papers 02/06, School of Economics and Business Administration, University of Navarra.
  4. Timo Terasvirta & Zhenfang Zhao, 2011. "Stylized facts of return series, robust estimates and three popular models of volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 67-94.
  5. Ginny ju-ann Yang & Koyin Chang & Yung-Hsiang Ying & Chen-hsun Lee, 2014. "Spillover Effects of Chinese Stock Markets," Economics Bulletin, AccessEcon, vol. 34(1), pages 200-205.
  6. Ray Yeutien Chou & Chun-Chou Wu & Yi-Nung yang, 2012. "The euro's impacts on the smooth transition dynamics of stock market volatilities," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 169-179, May.
  7. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
  8. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers halshs-01052488, HAL.
  9. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
  10. Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1236-1278, December.
  11. Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
  12. Eduardo Lima & Benjamin Tabak, 2009. "Tests of Random Walk: A Comparison of Bootstrap Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 365-382, November.
  13. Steffen Henzel & Malte Rengel, 2013. "Dimensions of macroeconomic uncertainty: A common factor analysis," Ifo Working Paper Series Ifo Working Paper No. 167, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  14. Bouri, Elie, 2015. "Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis," Energy Economics, Elsevier, vol. 51(C), pages 590-598.
  15. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
  16. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series 1115, Economics, The University of Manchester.
  17. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  18. Bhatti, Chad R., 2010. "The Birnbaum–Saunders autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2062-2078.
  19. Mika Meitz & Pentti Saikkonen, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics.
  20. Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, Department of Economics and Business Economics, Aarhus University.
  21. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester.
  22. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004.
  23. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
  24. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department.
  25. Hafner, Christian M. & Herwartz, Helmut, 2006. "A Lagrange multiplier test for causality in variance," Economics Letters, Elsevier, vol. 93(1), pages 137-141, October.
  26. Mika Meitz & Pentti Saikkonen, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
  27. Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January.
  28. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
  29. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Working Papers 0597, University of Heidelberg, Department of Economics.
  30. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  31. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
  32. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
  33. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.
  34. Adnen Ben Nasr & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model," Applied Financial Economics, Taylor & Francis Journals, vol. 24(14), pages 993-1004, July.
  35. repec:dau:papers:123456789/13359 is not listed on IDEAS
  36. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
  37. Wasel Shadat & Chris Orme, 2011. "An investigation of parametric tests of CCC assumption," The School of Economics Discussion Paper Series 1109, Economics, The University of Manchester.
  38. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
  39. Wong, Woon K. & Tu, Anthony H., 2009. "Market imperfections and the information content of implied and realized volatility," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 58-79, January.
  40. Yi-Ting Chen & Zhongjun Qu, 2015. "M Tests with a New Normalization Matrix," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 617-652, May.
  41. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2005. "Medidas De Riesgo, Caracteristicas Y Técnicas De Medición: Una Aplicación Del Var Y El Es A La Tasa Interbancaria De Colombia," BORRADORES DE ECONOMIA 003198, BANCO DE LA REPÚBLICA.
  42. Aboura, Sofiane & Chevallier, Julien, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Research in International Business and Finance, Elsevier, vol. 33(C), pages 334-354.
  43. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
  44. Ahdi N. Ajmi & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2014. "Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach," Working Papers 201436, University of Pretoria, Department of Economics.
  45. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
  46. Belkhouja, Mustapha & Mootamri, Imene, 2016. "Long memory and structural change in the G7 inflation dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 450-462.
  47. Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
  48. repec:ipg:wpaper:2014-469 is not listed on IDEAS
  49. KIlIç, Rehim, 2011. "Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 368-378, March.
  50. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112919, Verein für Socialpolitik / German Economic Association.
  51. Tsatsura, Oleg, 2010. "A Smooth Transition GARCH-M Model," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 17(1), pages 45-61.
  52. Carlos Escanciano, J., 2008. "Joint and marginal specification tests for conditional mean and variance models," Journal of Econometrics, Elsevier, vol. 143(1), pages 74-87, March.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.