The following pages link to Evaluating GARCH models. (Q1858977):
Displaying 46 items.
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Joint and marginal specification tests for conditional mean and variance models (Q291103) (← links)
- A time series model for an exchange rate in a target zone with applications (Q292041) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Powerful tests for structural changes in volatility (Q528175) (← links)
- Testing the adequacy of GARCH-type models in time series (Q846855) (← links)
- The Birnbaum-Saunders autoregressive conditional duration model (Q991167) (← links)
- Testing the equality of error distributions from \(k\) independent GARCH models (Q1012539) (← links)
- Tests of random walk: A comparison of bootstrap approaches (Q1037439) (← links)
- A Lagrange multiplier test for GARCH models (Q1184755) (← links)
- Small sample properties of \(\text{GARCH}(1,1)\) estimator under non-normality (Q1391048) (← links)
- Comparison of specification tests for GARCH models (Q1623530) (← links)
- Testing for parameter constancy in GARCH\((p,q)\) models (Q1767739) (← links)
- Empirical process of the squared residuals of an ARCH sequence (Q1848867) (← links)
- A robust LR test for the GARCH model (Q1927913) (← links)
- A Lagrange multiplier test for causality in variance (Q1929453) (← links)
- Heterogeneous expectations in the gold market: specification and estimation (Q1994393) (← links)
- Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples (Q2255852) (← links)
- Residual-based rank specification tests for AR-GARCH type models (Q2343810) (← links)
- Testing for misspecification in the short-run component of GARCH-type models (Q2691778) (← links)
- A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS (Q2937712) (← links)
- PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (Q3108567) (← links)
- Evaluating Multivariate GARCH Models in the Nordic Electricity Markets (Q3378029) (← links)
- A Model Specification Test For GARCH(1,1) Processes (Q3460672) (← links)
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (Q3551018) (← links)
- Stability of nonlinear AR-GARCH models (Q3552833) (← links)
- ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS (Q3577700) (← links)
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes (Q3615085) (← links)
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (Q3632419) (← links)
- FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS (Q3632429) (← links)
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (Q4555065) (← links)
- DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS (Q4562549) (← links)
- GARCH model selection criteria (Q4647269) (← links)
- Diagnostic Checking for GARCH-Type Models (Q4921650) (← links)
- A general approach to conditional moment specification testing with projections (Q5034243) (← links)
- Parameter changes in GARCH model (Q5123601) (← links)
- STATISTICAL INFERENCE FOR MEASUREMENT EQUATION SELECTION IN THE LOG-REALGARCH MODEL (Q5243485) (← links)
- TESTING GARCH-X TYPE MODELS (Q5243487) (← links)
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS (Q5314884) (← links)
- A comparison of alternative techniques for selecting an optimum ARCH model (Q5457923) (← links)
- Robust parametric tests of constant conditional correlation in a MGARCH model (Q5862487) (← links)
- <i>M</i>Tests with a New Normalization Matrix (Q5863556) (← links)
- Specification and testing of multiplicative time-varying GARCH models with applications (Q5864441) (← links)
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (Q5864639) (← links)
- Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling (Q6171861) (← links)
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models (Q6626297) (← links)
