GARCH with omitted persistent covariate
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Publication:485597
DOI10.1016/J.ECONLET.2014.05.016zbMATH Open1303.62049OpenAlexW2056577254MaRDI QIDQ485597FDOQ485597
Authors: Joon Y. Park, Heejoon Han 
Publication date: 12 January 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2014.05.016
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Autoregressive conditional heteroskedasticity and changes in regime
- Modelling the persistence of conditional variances
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Neglecting parameter changes in GARCH models
- Nonlinear Regressions with Integrated Time Series
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- Level changes in volatility models
- On convergence of the QMLE for misspecified GARCH models
Cited In (2)
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