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

DOI10.1080/00949655.2015.1099159OpenAlexW2185570976MaRDI QIDQ5222456

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

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)

Related Items (1)

Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A tobit model with garch errors
• DYNAMIC TIME SERIES BINARY CHOICE
• Bayesian Analysis of Binary and Polychotomous Response Data
• Maximum Likelihood Estimation of Misspecified Models

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