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C22 - Time-Series Models
Citations 1-10 of 33 total displayed.
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Most recent content
(1 Jul 2008):
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- Articles
A Simple Test for GARCH Against a Stochastic Volatility Model
- Philip Hans Franses, Marco van der Leij, and Richard Paap
J. Financial Econometrics 2008; 6: 291-306.
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- Articles
Are There Structural Breaks in Realized Volatility?
- Chun Liu and John M. Maheu
J. Financial Econometrics 2008; 6: 326-360.
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Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall
- James W. Taylor
J. Financial Econometrics 2008; 6: 382-406.
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Past content
(since Sep 2003):
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- Articles
Parameterizing Unconditional Skewness in Models for Financial Time Series
- Changli He, Annastiina Silvennoinen, and Timo Teräsvirta
J. Financial Econometrics 2008; 6: 208-230.
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Estimating Value at Risk and Expected Shortfall Using Expectiles
- James W. Taylor
J. Financial Econometrics 2008; 6: 231-252.
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Detecting ARCH Effects in Non-Gaussian Time Series
- Burkhard Raunig
J. Financial Econometrics 2008; 6: 271-289.
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Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation
- Gregory R. Duffee and Richard H. Stanton
J. Financial Econometrics 2008; 6: 108-142.
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Model-free versus Model-based Volatility Prediction
- Dimitris N. Politis
J. Financial Econometrics 2007; 5: 358-359.
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Beta Regimes for the Yield Curve
- Francesco Audrino and Enrico De Giorgi
J. Financial Econometrics 2007; 5: 456-490.
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Stationarity of a Markov-Switching GARCH Model
- Ji-Chun Liu
J. Financial Econometrics 2006; 4: 573-593.
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