Joint modeling of cointegration and conditional heteroscedasticity with applications
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Cites work
- scientific article; zbMATH DE number 562294 (Why is no real title available?)
- ARCH modeling in finance. A review of the theory and empirical evidence
- Asymptotic theory for a vector ARMA-GARCH model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Cointegration tests with conditional heteroskedasticity.
- Conditional Heteroscedastic Time Series Models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
- Generalized autoregressive conditional heteroscedasticity
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
- Modelling the persistence of conditional variances
- On a multivariate conditional heteroscedastic model
- Statistical analysis of cointegration vectors
Cited in
(9)- Adaptive Testing for Cointegration With Nonstationary Volatility
- Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
- Fundamentals and technical trading: Behavior of exchange rates in the CEECs
- Forecasting in financial and sports gambling markets. Adaptive drift modeling.
- Estimation of cointegrated models with exogenous variables
- Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries
- A portmanteau test for multivariate GARCH when the conditional mean is an ECM: theory and empirical applications
- Basket trading under co-integration with the logistic mixture autoregressive model
- Heteroskedastic cointegration
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