An ARCH model without intercept
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DOI: 10.1016/j.econlet.2015.01.029
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- Hafner, Christian & Preminger, Arie, 2015. "An ARCH model without intercept," LIDAM Reprints ISBA 2015039, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Christian M. HAFNER & Arie PREMINGER, 2015. "An ARCH Model Without Intercept," LIDAM Reprints CORE 2770, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
References listed on IDEAS
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Cited by:
- Kejin Wu & Sayar Karmakar, 2021. "Model-Free Time-Aggregated Predictions for Econometric Datasets," Forecasting, MDPI, vol. 3(4), pages 1-14, December.
- Li, Dong & Ling, Shiqing & Zhu, Ke, 2016. "ZD-GARCH model: a new way to study heteroscedasticity," MPRA Paper 68621, University Library of Munich, Germany.
- Zhu, Ke, 2015. "Hausman tests for the error distribution in conditionally heteroskedastic models," MPRA Paper 66991, University Library of Munich, Germany.
- Zhu, Ke, 2023. "A new generalized exponentially weighted moving average quantile model and its statistical inference," Journal of Econometrics, Elsevier, vol. 237(1).
- Li, Dong & Zhang, Xingfa & Zhu, Ke & Ling, Shiqing, 2018. "The ZD-GARCH model: A new way to study heteroscedasticity," Journal of Econometrics, Elsevier, vol. 202(1), pages 1-17.
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More about this item
Keywords
Nonstationarity; Volatility; Lyapunov exponent; Random walk;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
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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