NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL (Q3577703): Difference between revisions

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-Menelaos Karanasos
@@ Property / author: Menelaos Karanasos / rank @@
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+Menelaos Karanasos
@@ Property / author: Menelaos Karanasos / rank @@
+Normal rank
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+FinTS
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+MaRDI publication profile
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@@ Property / cites work @@
+A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
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@@ Property / cites work @@
+Variance (Non) Causality in Multivariate GARCH
@@ Property / cites work: Variance (Non) Causality in Multivariate GARCH / rank @@
+Normal rank
@@ Property / cites work @@
+A Note on Non‐Negative Arma Processes
@@ Property / cites work: A Note on Non‐Negative Arma Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
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@@ Property / cites work @@
+ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
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@@ Property / cites work @@
+Testing multivariate distributions in GARCH models
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@@ Property / cites work @@
+Testing for volatility interactions in the Constant Conditional Correlation GARCH model
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@@ Property / cites work @@
+The second moment and the autocovariance function of the squared errors of the GARCH model
+Normal rank
@@ Property / cites work @@
+HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
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@@ Property / cites work @@
+AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
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+Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
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@@ Property / full work available at URL @@
+https://doi.org/10.1017/s0266466609990120
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+W3123447553
@@ Property / OpenAlex ID: W3123447553 / rank @@
+Normal rank