Specification and testing of multiplicative time-varying GARCH models with applications
From MaRDI portal
Publication:5864441
DOI10.1080/07474938.2014.977064OpenAlexW2056864097MaRDI QIDQ5864441
Timo Teräsvirta, Cristina Amado
Publication date: 7 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/135747189/Amado_2017_Specification_and_testing_of_multiplicative_time_varying_garch.pdf
conditional heteroskedasticitymisspecification testingtime-varying parameter modelmodelling volatilitynonlinear model building
Related Items (7)
ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES ⋮ Testing constancy of unconditional variance in volatility models by misspecification and specification tests ⋮ Testing for misspecification in the short-run component of GARCH-type models ⋮ Time-varying asymmetry and tail thickness in long series of daily financial returns ⋮ Modeling time-variation over the business cycle (1960--2017): an international perspective ⋮ Stock market volatility and public information flow: a non-linear perspective ⋮ Choosing between persistent and stationary volatility
Uses Software
Cites Work
- Unnamed Item
- Modelling volatility by variance decomposition
- Testing the adequacy of smooth transition autoregressive models
- Generalized autoregressive conditional heteroscedasticity
- Evaluating GARCH models.
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Semiparametric Estimator of Time Series Conditional Variance
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Testing linearity against smooth transition autoregressive models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
- Modelling Nonlinear Economic Time Series
This page was built for publication: Specification and testing of multiplicative time-varying GARCH models with applications
