Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

DOI10.2202/1558-3708.1434MaRDI QIDQ5452777zbMATH OpenOpenAlexFDO

Authors Rehim Kılıç

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1434

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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(8)

• Modelling exchange rate returns: which flexible distribution to use?
• The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study
• Financial bubble implosion and reverse regression
• NIG-GARCH models based on open, close, high and low prices
• The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations
• ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models
• scientific article; zbMATH DE number 6448042 (Why is no real title available?)

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