On regression-based tests for persistence in logarithmic volatility models
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Publication:4935455
DOI10.1080/07474939908800354zbMath1072.62653OpenAlexW1966612409MaRDI QIDQ4935455
Elias Tzavalis, Zacharias Psaradakis
Publication date: 10 April 2000
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939908800354
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (4)
Shifts in volatility driven by large stock market shocks ⋮ Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown ⋮ Spurious persistence in stochastic volatility ⋮ A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series
Cites Work
- The persistence in volatility of the US term premium 1970--1986
- Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Modelling the persistence of conditional variances
- Testing for a unit root in the presence of moving average errors
- Multivariate Stochastic Variance Models
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