Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations

DOI10.1016/J.MATCOM.2005.02.018zbMath1065.92057OpenAlexW1974850841MaRDI QIDQ2486212

Suhejla Hoti, Felix T. S. Chan, Michael McAleer

Publication date: 5 August 2005

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2005.02.018

zbMATH Keywords

AsymmetrySpilloversShocksAtmospheric carbon dioxide concentrationMultivariate conditional volatility models

Mathematics Subject Classification ID

Ecology (92D40) Meteorology and atmospheric physics (86A10)

Related Items (2)

RANK-BASED ESTIMATION FOR GARCH PROCESSES ⋮ Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.
• Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Testing for a unit root in time series regression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• On a multivariate conditional heteroscedastic model
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS

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