GARCH with omitted persistent covariate
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DOI: 10.1016/j.econlet.2014.05.016
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Cited by:
- Francq, Christian & Thieu, Le Quyen, 2019.
"Qml Inference For Volatility Models With Covariates,"
Econometric Theory, Cambridge University Press, vol. 35(1), pages 37-72, February.
- Francq, Christian & Thieu, Le Quyen, 2015. "Qml inference for volatility models with covariates," MPRA Paper 63198, University Library of Munich, Germany.
- Christian Conrad & Onno Kleen, 2020. "Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 19-45, January.
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More about this item
Keywords
IGARCH; GARCH-X; Nonlinear nonstationary time series; Fractionally integrated process;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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