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

DOI10.1080/00949655.2015.1099159MaRDI QIDQ5222456zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ARCH LM testbinary choice modelsheteroskedastic-probitheteroskedasticityprobit-GARCH

Mathematics Subject Classification ID

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

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Cites work

• A Lagrange multiplier test for GARCH models
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• A tobit model with garch errors
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• Bayesian Analysis of Binary and Polychotomous Response Data
• Dynamic time series binary choice
• Estimating Regression Models with Multiplicative Heteroscedasticity
• Generalized autoregressive conditional heteroscedasticity
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• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Maximum Likelihood Estimation of Misspecified Models
• Temporal Aggregation of Garch Processes

Cited in

(2)

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

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