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

@@ Property / author @@
+Menelaos Karanasos
@@ Property / author: Menelaos Karanasos / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+FinTS
@@ Property / describes a project that uses: FinTS / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
+Normal rank
@@ Property / cites work @@
+Testing multivariate distributions in GARCH models
+Normal rank
@@ Property / cites work @@
+Testing for volatility interactions in the Constant Conditional Correlation GARCH model
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
+Normal rank
@@ Property / cites work @@
+Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1017/s0266466609990120
+Normal rank
@@ Property / OpenAlex ID @@
+W3123447553
@@ Property / OpenAlex ID: W3123447553 / rank @@
+Normal rank