Specification and testing of multiplicative time-varying GARCH models with applications

DOI10.1080/07474938.2014.977064MaRDI QIDQ5864441zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

conditional heteroskedasticitytime-varying parameter modelmisspecification testingmodelling volatilitynonlinear model building

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 5002302 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Evaluating GARCH models.
• Generalized autoregressive conditional heteroscedasticity
• Modelling Nonlinear Economic Time Series
• Modelling volatility by variance decomposition
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
• Semiparametric Estimator of Time Series Conditional Variance
• Testing linearity against smooth transition autoregressive models
• Testing the adequacy of smooth transition autoregressive models

Cited in

(11)

• A residual-based test for multivariate GARCH models using transformed quadratic residuals
• Choosing between persistent and stationary volatility
• ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
• 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

Describes a project that uses

Uses Software

• Ox

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