A tobit model with garch errors
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DOI: 10.1080/07474939808800404
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- Gabriele Fiorentini & Giorgio Calzolari, 1997. "A tobit model with garch errors," Working Papers. Serie AD 1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
References listed on IDEAS
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Citations
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Cited by:
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- Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," EconomiX Working Papers 2015-14, University of Paris Nanterre, EconomiX.
- Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
- Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01411808, HAL.
- Remzi Uctum & Imane El Ouadghiri, 2015. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01638221, HAL.
- Juan J. Echavarría & Luis F. Melo-Velandia & Mauricio Villamizar-Villegas, 2018.
"The impact of pre-announced day-to-day interventions on the Colombian exchange rate,"
Empirical Economics, Springer, vol. 55(3), pages 1319-1336, November.
- Juan José Echavarría & Luis Fernando Melo velandia & Santiago Téllez & Mauricio Villamizar Villegas, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 767, Banco de la Republica de Colombia.
- Juan José Echavarría & Luis Fernando Melo Velandia & Santiago Téllez & Mauricio Villamizar, 2013. "The Impact of Pre-announced Day-to-day Interventions on the Colombian Exchange Rate," Borradores de Economia 10767, Banco de la Republica.
- Juan José Echavarría & Luis Fernando Melo & Santiago Téllez & Mauricio Villamizar, 2013. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," BIS Working Papers 428, Bank for International Settlements.
- Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," Working Papers hal-04141414, HAL.
- Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael, 2010.
"Trading activity, realized volatility and jumps,"
Journal of Empirical Finance, Elsevier, vol. 17(1), pages 168-175, January.
- GIOT, Pierre & LAURENT, Sébastien & PETITJEAN, Mikael, 2010. "Trading activity, realized volatility and jumps," LIDAM Reprints CORE 2223, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dimitrakopoulos, Stefanos & Tsionas, Mike, 2019. "Ordinal-response GARCH models for transaction data: A forecasting exercise," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1273-1287.
- Zhao, Wandi & Gao, Yang & Wang, Mingjin, 2022. "Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Hsieh, Ping-Hung & Yang, J. Jimmy, 2009. "A censored stochastic volatility approach to the estimation of price limit moves," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 337-351, March.
- Slim, Skander & Dahmene, Meriam, 2016. "Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks," Global Finance Journal, Elsevier, vol. 29(C), pages 70-84.
- Wei, Steven X., 2002. "A censored-GARCH model of asset returns with price limits," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 197-223, March.
- Boffelli, Simona & Urga, Giovanni, 2015. "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 148-173.
- Chen, Ho-Chyuan & Chang, Kuang-Liang & Yu, Shih-Ti, 2012. "Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions," Japan and the World Economy, Elsevier, vol. 24(4), pages 274-282.
- Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.
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More about this item
Keywords
censored regressions; conditional heteroskedasticity; Monte Carlo simulations;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
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