Time series properties of ARCH processes with persistent covariates
DOI10.1016/J.JECONOM.2008.08.016zbMATH Open1429.62398OpenAlexW2149930406MaRDI QIDQ299219FDOQ299219
Authors: Heejoon Han, Joon Y. Park 
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/5199/1/MPRA_paper_5199.pdf
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Cites Work
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Cited In (9)
- Semi-parametric estimation and forecasting for exogenous log-GARCH models
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- Testing for local covariate trend effects in volatility models
- Nonparametric testing for long-horizon predictability with persistent covariates
- Semiparametric inference in a GARCH-in-mean model
- Level changes in volatility models
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- Title not available (Why is that?)
- Nonparametric cointegrating regression with NNH errors
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