On regression-based tests for persistence in logarithmic volatility models

DOI10.1080/07474939908800354MaRDI QIDQ4935455zbMATH OpenOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• 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
• Multivariate Stochastic Variance Models
• Testing for a unit root in the presence of moving average errors
• The persistence in volatility of the US term premium 1970--1986

Cited in

(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

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