A conditionally heteroskedastic binary choice model for macro-financial time series

DOI10.1080/00949655.2015.1099159OpenAlexW2185570976MaRDI QIDQ5222456FDOQ5222456

Authors: Jameel Ahmed 

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2015.1099159

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zbMATH Keywords

heteroskedasticitybinary choice modelsARCH LM testheteroskedastic-probitprobit-GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic dynamics (91B55)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Maximum Likelihood Estimation of Misspecified Models
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Bayesian Analysis of Binary and Polychotomous Response Data
• A Lagrange multiplier test for GARCH models
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• Estimating Regression Models with Multiplicative Heteroscedasticity
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• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Temporal Aggregation of Garch Processes
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• Dynamic time series binary choice
• A tobit model with garch errors

Cited In (2)

• Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target
• Robustness of binary choice models to conditional heteroscedasticity

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