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Cristina Amado

Personal Details

First Name:Cristina
Middle Name:
Last Name:Amado
Suffix:
RePEc Short-ID:pam81
https://sites.google.com/view/cristina-amado
Department of Economics, University of Minho, School of Economics and Management, Campus de Gualtar, 4710-057 Braga, Portugal
+351 253 601 383
Terminal Degree:2009 Department of Economic Statistics; Stockholm School of Economics (from RePEc Genealogy)

Affiliation

(50%) Núcleo de Investigação em Políticas Económicas e Empresariais (NIPE)
Escola de Economia e Gestão
Universidade do Minho

Braga, Portugal
https://www.eeg.uminho.pt/pt/investigar/nipe/
RePEc:edi:nipampt (more details at EDIRC)

(50%) Escola de Economia e Gestão
Universidade do Minho

Braga, Portugal
https://www.eeg.uminho.pt/
RePEc:edi:deeegpt (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
  2. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
  3. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
  4. Cristina Amado & Timo Terasvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," NIPE Working Papers 02/2012, NIPE - Universidade do Minho.
  5. Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," CREATES Research Papers 2011-24, Department of Economics and Business Economics, Aarhus University.
  6. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
  7. Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
  2. Cristina Amado & Timo Teräsvirta, 2017. "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 421-446, April.
  3. Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
  4. Cristina Amado & Timo Teräsvirta, 2014. "Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 69-87, January.
  5. Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.

    Cited by:

    1. Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    2. Feng, Yuanhua & Härdle, Wolfgang Karl, 2020. "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers 2020-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    3. Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).

  2. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.

    Cited by:

    1. Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2019. "A Time-Frequency Analysis of Sovereign Debt Contagion in Europe," NIPE Working Papers 11/2019, NIPE - Universidade do Minho.

  3. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.

    Cited by:

    1. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," CREATES Research Papers 2018-14, Department of Economics and Business Economics, Aarhus University.
    2. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
    3. Paulo Soares Esteves & Miguel Portela & António Rua, 2018. "Does domestic demand matter for firms’ exports?," NIPE Working Papers 18/2018, NIPE - Universidade do Minho.
    4. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
    5. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
    6. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.

  4. Cristina Amado & Timo Terasvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," NIPE Working Papers 02/2012, NIPE - Universidade do Minho.

    Cited by:

    1. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
    2. Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers 2017-02, Department of Economics and Business Economics, Aarhus University.
    3. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
    4. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
    5. Li, Dongxin & Zhang, Li & Li, Lihong, 2023. "Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model," International Review of Financial Analysis, Elsevier, vol. 88(C).
    6. Silvennoinen Annastiina & Teräsvirta Timo, 2016. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 347-364, September.
    7. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
    8. Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2017. "On the influence of US monetary policy on crude oil price volatility," Empirical Economics, Springer, vol. 52(1), pages 155-178, February.
    9. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    10. Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
    11. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
    12. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    13. Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
    14. Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES ECARES 2015-41, ULB -- Universite Libre de Bruxelles.
    15. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
    16. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
    17. Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
    18. Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
    19. Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
    20. Hao Jin & Si Zhang & Jinsuo Zhang, 2017. "Spurious regression due to neglected of non-stationary volatility," Computational Statistics, Springer, vol. 32(3), pages 1065-1081, September.
    21. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2021. "Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model," Econometrics and Statistics, Elsevier, vol. 20(C), pages 12-28.
    22. Błażej Mazur & Mateusz Pipień, 2012. "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 95-116, June.
    23. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    24. Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics 23436, Universidad Carlos III de Madrid. Departamento de Economía.
    25. Demetrescu, Matei & Rodrigues, Paulo M.M., 2022. "Residual-augmented IVX predictive regression," Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
    26. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, vol. 3(1), pages 1-53, January.
    27. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
    28. Laurie Davies & Walter Kraemer, 2016. "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series 5796, CESifo.
    29. Kawka, Rafael, 2022. "Convergence of spectral density estimators in the locally stationary framework," Econometrics and Statistics, Elsevier, vol. 24(C), pages 94-115.
    30. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
    31. Jiang, Xiandeng & Shi, Yanlin & Zhang, Zhaoyong, 2021. "Does US partisan conflict affect China’s foreign exchange reserves?," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 21-33.
    32. Cristina Amado & Timo Teräsvirta, 2017. "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 421-446, April.
    33. Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
    34. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
    35. Feng, Lingbing & Fu, Tong & Shi, Yanlin, 2022. "How does news sentiment affect the states of Japanese stock return volatility?," International Review of Financial Analysis, Elsevier, vol. 84(C).
    36. Yuanyuan Zhang & Rong Liu & Qin Shao & Lijian Yang, 2020. "Two‐Step Estimation for Time Varying Arch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 551-570, July.

  5. Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," CREATES Research Papers 2011-24, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
    2. Ngene, Geoffrey & Post, Jordin A. & Mungai, Ann N., 2018. "Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 181-198.
    3. Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590471, HAL.
    4. De Santis, Roberto A. & Stein, Michael, 2016. "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series 1979, European Central Bank.
    5. Fresoli, Diego Eduardo, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
    7. Ngene, Geoffrey M. & Lee Kim, Yea & Wang, Jinghua, 2019. "Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets," Economic Modelling, Elsevier, vol. 81(C), pages 136-147.
    8. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    9. De Santis, Roberto A. & Stein, Michael, 2015. "Financial indicators signaling correlation changes in sovereign bond markets," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 86-102.
    10. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
    11. Kang‐Soek Lee & Richard A. Werner, 2023. "Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3960-3975, October.
    12. Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
    13. Bekiros, Stelios D., 2014. "Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 58-69.
    14. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
    15. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers 2022-01, Department of Economics and Business Economics, Aarhus University.
    16. Guerello, Chiara, 2016. "The effect of investors’ confidence on monetary policy transmission mechanism," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 248-266.
    17. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
    18. Yuanyuan Zhang & Rong Liu & Qin Shao & Lijian Yang, 2020. "Two‐Step Estimation for Time Varying Arch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 551-570, July.

  6. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.

    Cited by:

    1. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
    2. Arthur J. Lin & Hai-Yen Chang, 2020. "Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
    3. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
    4. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2014. "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," CREATES Research Papers 2014-13, Department of Economics and Business Economics, Aarhus University.
    5. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
    6. He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Journal of Econometrics, Elsevier, vol. 239(1).
    7. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," CREATES Research Papers 2018-14, Department of Economics and Business Economics, Aarhus University.
    8. Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    9. Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017. "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
    10. Cristina Amado & Timo Teräsvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers 2012-07, Department of Economics and Business Economics, Aarhus University.
    11. Silvennoinen Annastiina & Teräsvirta Timo, 2016. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 347-364, September.
    12. Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
    13. Dawei Zhang & Zhuo (June) Cheng & Hasan A. Qurban H. Mohammad & Barrie R. Nault, 2015. "Research Commentary—Information Technology Substitution Revisited," Information Systems Research, INFORMS, vol. 26(3), pages 480-495, September.
    14. Martínez-García Enrique, 2018. "Modeling time-variation over the business cycle (1960–2017): an international perspective," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
    15. Henryk Gurgul & Roland Mestel & Robert Syrek, 2017. "MIDAS models in banking sector – systemic risk comparison," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 165-181.
    16. Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
    17. Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CEIS Research Paper 294, Tor Vergata University, CEIS, revised 25 Sep 2014.
    18. Daiki Maki & Yasushi Ota, 2021. "Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1167-1182, April.
    19. Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2017. "On the influence of US monetary policy on crude oil price volatility," Empirical Economics, Springer, vol. 52(1), pages 155-178, February.
    20. Emilio Zanetti Chini, 2018. "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," CREATES Research Papers 2018-13, Department of Economics and Business Economics, Aarhus University.
    21. Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun, 2016. "Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods," Journal of Financial Stability, Elsevier, vol. 24(C), pages 1-11.
    22. Dinghai Xu, 2020. "Canadian Stock Market Volatility under COVID-19," Working Papers 2001, University of Waterloo, Department of Economics, revised May 2020.
    23. Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES ECARES 2015-41, ULB -- Universite Libre de Bruxelles.
    24. Wilson Ye Chen & Richard H. Gerlach, 2017. "Semiparametric GARCH via Bayesian model averaging," Papers 1708.07587, arXiv.org.
    25. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
    26. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
    27. Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    28. Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
    29. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2021. "Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model," Econometrics and Statistics, Elsevier, vol. 20(C), pages 12-28.
    30. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
    31. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 194-209.
    32. Grote, Claudia & Bertram, Philip, 2015. "A comparative Study of Volatility Breaks," Hannover Economic Papers (HEP) dp-558, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    33. He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2019. "The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016," Econometrics and Statistics, Elsevier, vol. 12(C), pages 1-24.
    34. Bertelsen, Kristoffer Pons & Borup, Daniel & Jakobsen, Johan Stax, 2021. "Stock market volatility and public information flow: A non-linear perspective," Economics Letters, Elsevier, vol. 204(C).
    35. Eric Hillebrand & Marcelo C. Medeiros, 2012. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," CREATES Research Papers 2012-30, Department of Economics and Business Economics, Aarhus University.
    36. Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
    37. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    38. Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
    39. Alicia Adsera, Ana Ferrer and Virginia Herranz, 2020. "Descriptive labour market outcomes of immigrant women across Europe," Working Papers 2004, University of Waterloo, Department of Economics, revised 2020.
    40. Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics 23436, Universidad Carlos III de Madrid. Departamento de Economía.
    41. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    42. Demetrescu, Matei & Rodrigues, Paulo M.M., 2022. "Residual-augmented IVX predictive regression," Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
    43. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
    44. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
    45. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
    46. Yew-Choe Lum & Sardar M. N. Islam, 2016. "Time Varying Behavior of Share Returns in Australia: 1988–2004," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
    47. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
    48. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2019. "On the asymmetric impact of macro–variables on volatility," Economic Modelling, Elsevier, vol. 76(C), pages 135-152.
    49. Cristina Amado & Timo Teräsvirta, 2017. "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 421-446, April.
    50. Daiki Maki & Yasushi Ota, 2019. "Testing for time-varying properties under misspecified conditional mean and variance," Papers 1907.12107, arXiv.org, revised Aug 2019.
    51. Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).
    52. Teräsvirta, Timo & Zhao, Zhenfang, 2007. "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 662, Stockholm School of Economics, revised 01 Aug 2007.
    53. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2021. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 224(2), pages 306-329.
    54. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers 1907.04147, arXiv.org, revised Oct 2020.
    55. Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
    56. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
    57. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers 2022-01, Department of Economics and Business Economics, Aarhus University.
    58. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
    59. 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.
    60. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
    61. Yuanyuan Zhang & Rong Liu & Qin Shao & Lijian Yang, 2020. "Two‐Step Estimation for Time Varying Arch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 551-570, July.

  7. Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    2. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    3. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    4. Rohan, Neelabh, 2013. "A time varying GARCH(p,q) model and related statistical inference," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1983-1990.
    5. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011. "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
    6. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," CREATES Research Papers 2018-14, Department of Economics and Business Economics, Aarhus University.
    7. Cristina Amado & Timo Teräsvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers 2012-07, Department of Economics and Business Economics, Aarhus University.
    8. Silvennoinen Annastiina & Teräsvirta Timo, 2016. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 347-364, September.
    9. Martínez-García Enrique, 2018. "Modeling time-variation over the business cycle (1960–2017): an international perspective," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
    10. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
    11. Alexandre, Fernando & Portela, Miguel & Sá, Carla, 2008. "Admission Conditions and Graduates' Employability," IZA Discussion Papers 3530, Institute of Labor Economics (IZA).
    12. BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011. "Estimating and forecasting structural breaks in financial time series," LIDAM Discussion Papers CORE 2011055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    13. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
    14. Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
    15. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
    16. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2021. "Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model," Econometrics and Statistics, Elsevier, vol. 20(C), pages 12-28.
    17. Amendola, A. & Candila, V. & Cipollini, F. & Gallo, G.M., 2024. "Doubly multiplicative error models with long- and short-run components," Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
    18. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 194-209.
    19. Philippe Charlot & Vêlayoudom Marimoutou, 2008. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model," Working Papers halshs-00285866, HAL.
    20. Błażej Mazur & Mateusz Pipień, 2012. "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 95-116, June.
    21. Paulo Bastos & Natália P. Monteiro, 2011. "Managers and Wage Policies," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 20(4), pages 957-984, December.
    22. Belkhouja, Mustapha & Mootamri, Imene, 2016. "Long memory and structural change in the G7 inflation dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 450-462.
    23. Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis," Working Papers 202437, University of Pretoria, Department of Economics.
    24. Toktam Valizadeh & Saeid Rezakhah & Ferdous Mohammadi Basatini, 2021. "On time‐varying amplitude HGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2538-2547, April.
    25. Francesco Battaglia & Mattheos K. Protopapas, 2011. "Time‐varying multi‐regime models fitting by genetic algorithms," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 237-252, May.
    26. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
    27. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
    28. Cristina Amado & Timo Teräsvirta, 2017. "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 421-446, April.
    29. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    30. Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
    31. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
    32. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers 2022-01, Department of Economics and Business Economics, Aarhus University.
    33. BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014. "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE 2641, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    34. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
    35. 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.

Articles

  1. Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
    See citations under working paper version above.
  2. Cristina Amado & Timo Teräsvirta, 2017. "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 421-446, April.

    Cited by:

    1. Arthur J. Lin & Hai-Yen Chang, 2020. "Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
    2. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," CREATES Research Papers 2018-14, Department of Economics and Business Economics, Aarhus University.
    3. Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    4. Martínez-García Enrique, 2018. "Modeling time-variation over the business cycle (1960–2017): an international perspective," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
    5. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
    6. Chuffart Thomas & Flachaire Emmanuel & Péguin-Feissolle Anne, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-17, December.
    7. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
    8. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112919, Verein für Socialpolitik / German Economic Association.
    9. Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian, 2022. "Inference on Multiplicative Component GARCH without any Small-Order Moment," Working Papers 2022-09, Center for Research in Economics and Statistics.
    10. Bertelsen, Kristoffer Pons & Borup, Daniel & Jakobsen, Johan Stax, 2021. "Stock market volatility and public information flow: A non-linear perspective," Economics Letters, Elsevier, vol. 204(C).
    11. Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
    12. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
    13. Fabrizio Cipollini & Giampiero M. Gallo, 2021. "Multiplicative Error Models: 20 years on," Papers 2107.05923, arXiv.org.
    14. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
    15. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
    16. Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).
    17. Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021. "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers 15/21, Monash University, Department of Econometrics and Business Statistics.
    18. Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
    19. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
    20. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers 2022-01, Department of Economics and Business Economics, Aarhus University.
    21. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Working Papers 0597, University of Heidelberg, Department of Economics.
    22. 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.
    23. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).

  3. Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
    See citations under working paper version above.
  4. Cristina Amado & Timo Teräsvirta, 2014. "Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 69-87, January.
    See citations under working paper version above.
  5. Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
    See citations under working paper version above.

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  1. Portuguese Economists
  2. Department of Economics, University of Minho

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (9) 2008-02-02 2008-03-01 2008-06-27 2011-01-23 2011-05-24 2011-06-25 2012-03-14 2018-05-07 2018-05-28. Author is listed
  2. NEP-ECM: Econometrics (6) 2008-02-02 2011-01-23 2011-05-24 2012-02-27 2017-04-09 2018-05-07. Author is listed
  3. NEP-FOR: Forecasting (3) 2012-02-27 2012-03-14 2017-04-09
  4. NEP-ORE: Operations Research (2) 2011-05-24 2011-06-25
  5. NEP-EEC: European Economics (1) 2018-05-28
  6. NEP-FMK: Financial Markets (1) 2012-03-14
  7. NEP-RMG: Risk Management (1) 2011-01-23

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