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There are 11782 results for: content related to: Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity

  1. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

    Journal of Time Series Analysis

    Volume 29, Issue 2, March 2008, Pages: 331–358, Carsten Trenkler, Pentti Saikkonen and Helmut Lütkepohl

    Version of Record online : 26 NOV 2007, DOI: 10.1111/j.1467-9892.2007.00558.x

  2. Examination of Some More Powerful Modifications of the Dickey–Fuller Test

    Journal of Time Series Analysis

    Volume 26, Issue 3, May 2005, Pages: 355–369, Stephen Leybourne, Tae-Hwan Kim and Paul Newbold

    Version of Record online : 13 APR 2005, DOI: 10.1111/j.1467-9892.2004.00406.x

  3. A Family of Markov-Switching Garch Processes

    Journal of Time Series Analysis

    Volume 33, Issue 6, November 2012, Pages: 892–902, Ji-Chun Liu

    Version of Record online : 6 JUN 2012, DOI: 10.1111/j.1467-9892.2012.00804.x

  4. Contemporaneous aggregation of GARCH processes

    Journal of Time Series Analysis

    Volume 28, Issue 4, July 2007, Pages: 521–544, Paolo Zaffaroni

    Version of Record online : 18 JAN 2007, DOI: 10.1111/j.1467-9892.2006.00522.x

  5. Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes

    Journal of Time Series Analysis

    Volume 30, Issue 1, January 2009, Pages: 19–46, Abdelhakim Aknouche and Abdelouahab Bibi

    Version of Record online : 25 NOV 2008, DOI: 10.1111/j.1467-9892.2008.00598.x

  6. On stationarity and ergodicity of the bilinear model with applications to GARCH models

    Journal of Time Series Analysis

    Volume 30, Issue 1, January 2009, Pages: 125–144, Dennis Kristensen

    Version of Record online : 28 DEC 2008, DOI: 10.1111/j.1467-9892.2008.00603.x

  7. Weighted scatter estimation method of the GO-GARCH models

    Journal of Time Series Analysis

    Volume 33, Issue 1, January 2012, Pages: 81–95, Lingyu Zheng and William W. S. Wei

    Version of Record online : 30 JUN 2011, DOI: 10.1111/j.1467-9892.2011.00741.x

  8. Change point detection in copula ARMA–GARCH Models

    Journal of Time Series Analysis

    Volume 33, Issue 4, July 2012, Pages: 554–569, Okyoung Na, Jiyeon Lee and Sangyeol Lee

    Version of Record online : 11 OCT 2011, DOI: 10.1111/j.1467-9892.2011.00763.x

  9. Least tail-trimmed squares for infinite variance autoregressions

    Journal of Time Series Analysis

    Volume 34, Issue 2, March 2013, Pages: 168–186, Jonathan B. Hill

    Version of Record online : 24 OCT 2012, DOI: 10.1111/jtsa.12005

  10. Residuals-based tests for the null of no-cointegration: an Analytical comparison

    Journal of Time Series Analysis

    Volume 28, Issue 1, January 2007, Pages: 111–137, Elena Pesavento

    Version of Record online : 27 JUL 2006, DOI: 10.1111/j.1467-9892.2006.00501.x

  11. Stability of nonlinear AR-GARCH models

    Journal of Time Series Analysis

    Volume 29, Issue 3, May 2008, Pages: 453–475, Mika Meitz and Pentti Saikkonen

    Version of Record online : 21 APR 2008, DOI: 10.1111/j.1467-9892.2007.00562.x

  12. Using least squares to generate forecasts in regressions with serial correlation

    Journal of Time Series Analysis

    Volume 29, Issue 3, May 2008, Pages: 555–580, Sergio G. Koreisha and Yue Fang

    Version of Record online : 21 APR 2008, DOI: 10.1111/j.1467-9892.2007.00569.x

  13. Large-scale volatility models: theoretical properties of professionals’ practice

    Journal of Time Series Analysis

    Volume 29, Issue 3, May 2008, Pages: 581–599, Paolo Zaffaroni

    Version of Record online : 21 APR 2008, DOI: 10.1111/j.1467-9892.2007.00571.x

  14. Testing for parameter constancy in general causal time-series models

    Journal of Time Series Analysis

    Volume 33, Issue 3, May 2012, Pages: 503–518, William Charky Kengne

    Version of Record online : 14 MAR 2012, DOI: 10.1111/j.1467-9892.2012.00785.x

  15. Limit theory for a general class of GARCH models with just barely infinite variance

    Journal of Time Series Analysis

    Volume 33, Issue 1, January 2012, Pages: 161–174, Rong-Mao Zhang and Zheng-Yan Lin

    Version of Record online : 27 JUL 2011, DOI: 10.1111/j.1467-9892.2011.00749.x

  16. On a Mixture GARCH Time-Series Model

    Journal of Time Series Analysis

    Volume 27, Issue 4, July 2006, Pages: 577–597, Zhiqiang Zhang, Wai Keung Li and Kam Chuen Yuen

    Version of Record online : 10 FEB 2006, DOI: 10.1111/j.1467-9892.2006.00467.x

  17. Stability conditions for heteroscedastic factor models with conditionally autoregressive betas

    Journal of Time Series Analysis

    Volume 32, Issue 5, September 2011, Pages: 482–497, George A Christodoulakis and Stephen E Satchell

    Version of Record online : 10 JAN 2011, DOI: 10.1111/j.1467-9892.2010.00706.x

  18. Time Dependence and Moments of a Family of Time-Varying Parameter Garch in Mean Models

    Journal of Time Series Analysis

    Volume 25, Issue 1, January 2004, Pages: 1–25, Stelios Arvanitis and Antonis Demos

    Version of Record online : 12 JAN 2004, DOI: 10.1046/j.0143-9782.2003.01771.x

  19. Break Detection for a Class of Nonlinear Time Series Models

    Journal of Time Series Analysis

    Volume 29, Issue 5, September 2008, Pages: 834–867, Richard A. Davis, Thomas C. M. Lee and Gabriel A. Rodriguez-Yam

    Version of Record online : 14 AUG 2008, DOI: 10.1111/j.1467-9892.2008.00585.x

  20. Influence diagnostics for multivariate GARCH processes

    Journal of Time Series Analysis

    Volume 31, Issue 4, July 2010, Pages: 278–291, Jonathan Dark, Xibin Zhang and Nan Qu

    Version of Record online : 13 MAY 2010, DOI: 10.1111/j.1467-9892.2010.00662.x