Multivariate Simultaneous Generalized ARCH
暂无分享,去创建一个
[1] Bronwyn H Hall,et al. Estimation and Inference in Nonlinear Structural Models , 1974 .
[2] M. Friedman. Nobel Lecture: Inflation and Unemployment , 1977, Journal of Political Economy.
[3] P. Dhrymes. Mathematics for econometrics , 1978 .
[4] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[5] Clive W. J. Granger,et al. Combining competing forecasts of inflation using a bivariate arch model , 1984 .
[6] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[7] Thomas H. McCurdy,et al. Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity , 1988 .
[8] Andrew A. Weiss,et al. Asymptotic Theory for ARCH Models: Estimation and Testing , 1986, Econometric Theory.
[9] C. Engel,et al. Tests of International CAPM with Time-Varying Covariances , 1987 .
[10] J. Wooldridge,et al. A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.
[11] R. Peruga,et al. Can a time-varying risk premium explain excess returns in the forward market for foreign exchange? , 1990 .
[12] Thomas H. McCurdy,et al. Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity , 1991 .
[13] Adrian Pagan,et al. On the inconsistency on the MLE in certain heteroskedastic regression models , 2012 .
[14] K. Kroner,et al. Optimal dynamic hedging portfolios and the currency composition of external debt , 1991 .
[15] J. Wooldridge,et al. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances , 1992 .
[16] R. Chou,et al. ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .
[17] W. D. Lastrapes,et al. The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model , 1993 .
[18] K. Kroner,et al. Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures , 1993, Journal of Financial and Quantitative Analysis.
[19] Bruce E. Hansen,et al. Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator , 1994, Econometric Theory.