C32 - Time-Series Models

Citations 1-9 of 9 total displayed.

Most recent content (1 Jul 2008):

Articles
VAR Modeling for Dynamic Loadings Driving Volatility Strings

Ralf Brüggemann, Wolfgang Härdle, Julius Mungo, and Carsten Trenkler
J. Financial Econometrics 2008; 6: 361-381. [Abstract] [Full text] [PDF]  

Past content (since Mar 2003):

Articles
Parameterizing Unconditional Skewness in Models for Financial Time Series

Changli He, Annastiina Silvennoinen, and Timo Teräsvirta
J. Financial Econometrics 2008; 6: 208-230. [Abstract] [Full text] [PDF]  

Articles
Size and Value Anomalies under Regime Shifts

Massimo Guidolin and Allan Timmermann
J. Financial Econometrics 2008; 6: 1-48. [Abstract] [Full text] [PDF]  

Articles
Positivity Conditions for a Bivariate Autoregressive Volatility Specification

C. Gourieroux
J. Financial Econometrics 2007; 5: 624-636. [Abstract] [Full text] [PDF]  

Articles
Aggregation of Nonparametric Estimators for Volatility Matrix

Jianqing Fan, Yingying Fan, and Jinchi Lv
J. Financial Econometrics 2007; 5: 321-357. [Abstract] [Full text] [PDF]  

Articles
Multivariate Lagrange Multiplier Tests for Fractional Integration

Morten Ørregaard Nielsen
J. Financial Econometrics 2005; 3: 372-398. [Abstract] [Full text] [PDF]  

Articles
Nonparametric Tests for Positive Quadrant Dependence

Michel Denuit and Olivier Scaillet
J. Financial Econometrics 2004; 2: 422-450. [Abstract] [Full text] [PDF]  

Articles
Fourth Moment Structure of Multivariate GARCH Models

Christian M. Hafner
J. Financial Econometrics 2003; 1: 26-54. [Abstract] [PDF]  

Articles
Time Inhomogeneous Multiple Volatility Modeling

Wolfgang Härdle, Helmut Herwartz, and Vladimir Spokoiny
J. Financial Econometrics 2003; 1: 55-95. [Abstract] [PDF]