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Autoregressive conditional heteroskedasticity and changes in regime

JOURNAL ARTICLE published September 1994 in Journal of Econometrics

Authors: James D Hamilton | Raul Susmel

https://doi.org/10.1016/0304-4076(94)90067-1 Actions

Generalized autoregressive conditional heteroskedasticity

JOURNAL ARTICLE published April 1986 in Journal of Econometrics

Authors: Tim Bollerslev

https://doi.org/10.1016/0304-4076(86)90063-1 Actions

Reprint of: Generalized Autoregressive Conditional Heteroskedasticity

JOURNAL ARTICLE published March 2023 in Journal of Econometrics

Authors: Tim Bollerslev

https://doi.org/10.1016/j.jeconom.2023.02.001 Actions

21.1. Autoregressive Conditional Heteroskedasticity (ARCH)

BOOK CHAPTER published 31 December 1994 in Time Series Analysis

https://doi.org/10.1515/9780691218632-181 Actions

Maximum entropy autoregressive conditional heteroskedasticity model

JOURNAL ARTICLE published June 2009 in Journal of Econometrics

Authors: Sung Y. Park | Anil K. Bera

https://doi.org/10.1016/j.jeconom.2008.12.014 Actions

Fractionally integrated generalized autoregressive conditional heteroskedasticity

JOURNAL ARTICLE published September 1996 in Journal of Econometrics

Authors: Richard T. Baillie | Tim Bollerslev | Hans Ole Mikkelsen

https://doi.org/10.1016/s0304-4076(95)01749-6 Actions

Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

JOURNAL ARTICLE published 1 October 2009 in Journal of Financial Econometrics

Authors: A. Silvennoinen | T. Terasvirta

https://doi.org/10.1093/jjfinec/nbp013 Actions

Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model

JOURNAL ARTICLE published October 2021 in Journal of Econometrics

Research funded by China Scholarship Council (201906210093) | NSFC, China (11771239,71973077) | Tsinghua University Initiative Scientific Research Program, China (2019Z07L01009) | Hong Kong GRF (17306818,17305619) | NSFC, China (11690014,11731015) | Seed Fund for Basic Research (201811159049) | Fundamental Research Funds for the Central University, China (19JNYH08)

Authors: Feiyu Jiang | Dong Li | Ke Zhu

https://doi.org/10.1016/j.jeconom.2020.10.007 Actions

Conditional Heteroskedasticity

BOOK CHAPTER published 2 August 2004 in Applied Time Series Econometrics

Authors: Helmut Herwartz

https://doi.org/10.1017/cbo9780511606885.006 Actions

Testing for reduction to random walk in autoregressive conditional heteroskedasticity models

JOURNAL ARTICLE published December 2002 in The Econometrics Journal

Authors: Claudia Kluppelberg | Ross A. Maller | Mark van de Vyver | Derick Wee

https://doi.org/10.1111/1368-423x.t01-1-00090 Actions

Generalized Autoregressive Conditional Heteroskedasticity

BOOK CHAPTER published 16 November 1995 in Arch

Authors: Tim Bollerslev

https://doi.org/10.1093/oso/9780198774310.003.0003 Actions

CONDITIONAL HETEROSKEDASTICITY APPLICATION: RISK ESTIMATION

BOOK CHAPTER published June 2015 in Financial Valuation and Econometrics

https://doi.org/10.1142/9789814644020_0017 Actions

Causality tests and conditional heteroskedasticity:

JOURNAL ARTICLE published March 2001 in Journal of Econometrics

Authors: Jon Vilasuso

https://doi.org/10.1016/s0304-4076(00)00072-5 Actions

CONDITIONAL HETEROSKEDASTICITY APPLICATION: RISK ESTIMATION

BOOK CHAPTER published March 2011 in Financial Valuation and Econometrics

https://doi.org/10.1142/9789814307963_0017 Actions

Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term

JOURNAL ARTICLE published 26 February 2015 in Econometrics

Authors: Osman Doğan

https://doi.org/10.3390/econometrics3010101 Actions

Autoregressive Conditional Heteroskedasticity

BOOK CHAPTER published 2007 in Introduction to Modern Time Series Analysis

Authors: Gebhard Kirchgässner | Jürgen Wolters

https://doi.org/10.1007/978-3-540-73291-4_7 Actions

Detecting Autoregressive Conditional Heteroskedasticity in Non-Gaussian Time Series

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Burkhard Raunig

https://doi.org/10.2139/ssrn.493263 Actions

Mixed Normal Conditional Heteroskedasticity

JOURNAL ARTICLE published 1 March 2004 in Journal of Financial Econometrics

Authors: M. Haas

https://doi.org/10.1093/jjfinec/nbh009 Actions

Cointegration tests with conditional heteroskedasticity

JOURNAL ARTICLE published August 1996 in Journal of Econometrics

Authors: Tae-Hwy Lee | Yiuman Tse

https://doi.org/10.1016/s0304-4076(95)01745-3 Actions

Unit root tests with conditional heteroskedasticity

JOURNAL ARTICLE published October 1993 in Journal of Econometrics

Authors: Kiwhan Kim | Peter Schmidt

https://doi.org/10.1016/0304-4076(93)90027-3 Actions
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