Specification and testing of multiplicative time-varying GARCH models with applications
DOI10.1080/07474938.2014.977064OpenAlexW2056864097MaRDI QIDQ5864441FDOQ5864441
Authors: Cristina Amado, Timo Teräsvirta 
Publication date: 7 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/135747189/Amado_2017_Specification_and_testing_of_multiplicative_time_varying_garch.pdf
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conditional heteroskedasticitytime-varying parameter modelmisspecification testingmodelling volatilitynonlinear model building
Cites Work
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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- Modelling volatility by variance decomposition
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- Title not available (Why is that?)
- SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
Cited In (11)
- A residual-based test for multivariate GARCH models using transformed quadratic residuals
- ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
- Choosing between persistent and stationary volatility
- Stock market volatility and public information flow: a non-linear perspective
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
- Testing for misspecification in the short-run component of GARCH-type models
- Time-varying asymmetry and tail thickness in long series of daily financial returns
- Modeling time-variation over the business cycle (1960--2017): an international perspective
- Testing constancy of unconditional variance in volatility models by misspecification and specification tests
- Inference on GARCH-MIDAS models without any small-order moment
- On the parametrization of multivariate GARCH models
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