create a website

A discrete and a continuous-time model based on a technical trading rule. (). .
In: Journal of Financial Econometrics.
RePEc:oup:jfinec:v:5:y::i:2:p:266-284.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 12

References cited by this document

Cocites: 52

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

    References contributed by pfo235-27207

  1. Altman, Eitan. (2002). Stochastic recursive equations with application to queues with dependent vacations. Annals of Operation Research 112 (1), 43-61. Bergstrom, Albert. (1993). The ET Interview: A.R. Bergstrom in: P Phillips (ed.), Models, Methods and Applications of Econometrics, B. Blackwell, Cambridge, Mass.

  2. Bougerol, Philippe and Nico Picard. (1992). Stationarity of GARCH processes and of some nonnegative time series. Journal of Econometrics 52, 115-127.

  3. Chiarella, Carl, Xue-Zhong He and Carl Hommes. (2006). A Dynamic Analysis of Moving Averages Rules. Journal of Economic Dynamics and Control 30 (9-10), 1729-1753.

  4. Davies, Robert. (1987). Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 74, 33-43.
    Paper not yet in RePEc: Add citation now
  5. De Long, Bradford, Andrei Shleifer, Lawrence Summers and Robert Waldmann. (1990). Noise trader risk in Önancial markets. Journal of Political Economy 98, 703-738.
    Paper not yet in RePEc: Add citation now
  6. Garcia, Rene and Pierre Perron. (1996). An analysis of the real interest rate under regime shifts. Review of Economics and Statistics 78, 111-125.

  7. Hansen, Bruce.(1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica 64, 413-430.

  8. Hommes, Carl. (2006). Heterogeneous agent models in economics and finance. In: L. Kenneth and L. Tesfatsion (eds.), Handbook of Computational Economics. Agent-Based Computational Economics, Vol.2. Elsevier/North-Holland (Handbooks in Economics Series).

  9. Li, H. and Rosser Jr. (2004). Market dynamics and stock price volatility. The European Physical Journal B 39, 409-413.

  10. Lumsdaine R.L. and Serena Ng (1999), Testing for ARCH in the presence of a possibly misspecified conditional mean - estimation and testing. Journal of Econometrics 93(2), 257-279.

  11. Nelson, Daniel. (1990). Arch models as diffusion approximations. Journal of Econometrics 45, 7-38.

  12. White, Halbert. (1994). Estimation, inference, and specification analysis. New York: Cambridge University Press.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A goodness-of-fit test for GARCH innovation density. (2012). Mimoto, Nao ; Koul, Hira .
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:75:y:2012:i:1:p:127-149.

    Full description at Econpapers || Download paper

  2. On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models. (2012). Avarucci, Marco ; Beutner, Eric ; Zaffaroni, Paolo.
    In: DSS Empirical Economics and Econometrics Working Papers Series.
    RePEc:sas:wpaper:20121.

    Full description at Econpapers || Download paper

  3. Fourier--type estimation of the power garch model with stable--paretian innovations. (2012). Francq, Christian ; Meintanis, Simos .
    In: MPRA Paper.
    RePEc:pra:mprapa:41667.

    Full description at Econpapers || Download paper

  4. Garch models without positivity constraints: exponential or log garch?. (2012). Zakoian, Jean-Michel ; Wintenberger, Olivier ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:41373.

    Full description at Econpapers || Download paper

  5. Optimal Predictions of Powers of Conditionally Heteroskedastic Processes. (2012). Zakoian, Jean-Michel ; Francq, Christian.
    In: Working Papers.
    RePEc:crs:wpaper:2012-17.

    Full description at Econpapers || Download paper

  6. Parametric inference and forecasting in continuously invertible volatility models. (2011). Wintenberger, Olivier ; Cai, Sixiang .
    In: MPRA Paper.
    RePEc:pra:mprapa:31767.

    Full description at Econpapers || Download paper

  7. Optimal predictions of powers of conditionally heteroskedastic processes. (2010). Zakoian, Jean-Michel ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:22155.

    Full description at Econpapers || Download paper

  8. Inconsistency of the MLE and inference based on weighted LS for LARCH models. (2010). Francq, Christian ; Zakoian, Jean-Michel.
    In: Post-Print.
    RePEc:hal:journl:peer-00732536.

    Full description at Econpapers || Download paper

  9. Inconsistency of the MLE and inference based on weighted LS for LARCH models. (2010). Zakoian, Jean-Michel ; Francq, Christian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:151-165.

    Full description at Econpapers || Download paper

  10. Modeling the Effect of Oil Price on Global Fertilizer Prices. (2010). McAleer, Michael ; Chang, Chia-Lin ; Chen, Chi-Chung .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/55.

    Full description at Econpapers || Download paper

  11. Smoothly truncated stable distributions, GARCH-models, and option pricing. (2009). Rachev, Svetlozar ; Menn, Christian.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:69:y:2009:i:3:p:411-438.

    Full description at Econpapers || Download paper

  12. Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models.. (2009). Zakoian, Jean-Michel ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:15147.

    Full description at Econpapers || Download paper

  13. Modèls Garch à la mémoire longue: application aux taux de change tunisiens. (2008). YOUSFI, Ouidad ; Lahiani, Amine.
    In: MPRA Paper.
    RePEc:pra:mprapa:28702.

    Full description at Econpapers || Download paper

  14. Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons. (2008). Zakoian, Jean-Michel ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:16672.

    Full description at Econpapers || Download paper

  15. Estimation and tests for power-transformed and threshold GARCH models. (2008). wang, hui ; Tong, Howell ; Pan, Jiazhu .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:142:y:2008:i:1:p:352-378.

    Full description at Econpapers || Download paper

  16. Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons. (2008). Zakoian, Jean-Michel ; Francq, Christian.
    In: Working Papers.
    RePEc:crs:wpaper:2008-04.

    Full description at Econpapers || Download paper

  17. Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models. (2007). Saikkonen, Pentti ; Meitz, Mika.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:327.

    Full description at Econpapers || Download paper

  18. Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models. (2007). Saikkonen, Pentti ; Meitz, Mika.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0573.

    Full description at Econpapers || Download paper

  19. Generalized R-estimators under conditional heteroscedasticity. (2007). Mukherjee, Kanchan .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:383-415.

    Full description at Econpapers || Download paper

  20. Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models. (2007). Ling, Shiqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:140:y:2007:i:2:p:849-873.

    Full description at Econpapers || Download paper

  21. Inference in GARCH when some coefficients are equal to zero. (2006). Zakoian, Jean-Michel ; Francq, Christian.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:64.

    Full description at Econpapers || Download paper

  22. A Mixture Multiplicative Error Model for Realized Volatility. (2006). Lanne, Markku.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2006/3.

    Full description at Econpapers || Download paper

  23. The asymptotic convexity of the negative likelihood function of GARCH models. (2006). Li, D. F. ; Ip, W. C. ; Pan, J. Z. ; Wong, Heung .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:50:y:2006:i:2:p:311-331.

    Full description at Econpapers || Download paper

  24. Asymptotic theory for a factor GARCH model. (2006). Hafner, Christian ; Preminger, Arie.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006071.

    Full description at Econpapers || Download paper

  25. A GARCH (1,1) estimator with (almost) no moment conditions on the error term. (2006). Storti, Giuseppe ; Preminger, Arie.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006068.

    Full description at Econpapers || Download paper

  26. The Variance Ratio Statistic at large Horizons. (2005). Deo, Rohit ; Chen, Willa.
    In: Econometrics.
    RePEc:wpa:wuwpem:0501003.

    Full description at Econpapers || Download paper

  27. A necessary and sufficient condition for the strict stationarity of a family of GARCH processes. (2005). Meitz, Mika.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0601.

    Full description at Econpapers || Download paper

  28. Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process. (2005). Zadrozny, Peter.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1505.

    Full description at Econpapers || Download paper

  29. Is it really long memory we see in financial returns?. (2004). Mikosch, Thomas .
    In: Econometrics.
    RePEc:wpa:wuwpem:0412002.

    Full description at Econpapers || Download paper

  30. Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review. (2004). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80487.

    Full description at Econpapers || Download paper

  31. Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations. (2004). Bauer, Dietmar.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1452.

    Full description at Econpapers || Download paper

  32. The Variance Ratio Statistic at Large Horizons. (2003). Deo, Rohit S. ; Chen, Willa W..
    In: Papers.
    RePEc:zbw:caseps:200404.

    Full description at Econpapers || Download paper

  33. A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates. (2003). GUEGAN, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-00201314.

    Full description at Econpapers || Download paper

  34. Asymptotic theory for multivariate GARCH processes. (2003). Comte, F. ; Lieberman, O..
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:84:y:2003:i:1:p:61-84.

    Full description at Econpapers || Download paper

  35. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence. (2002). McAleer, Michael ; Chan, Felix.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:509-534.

    Full description at Econpapers || Download paper

  36. Stationarity of stable power-GARCH processes. (2002). Mittnik, Stefan ; Paolella, Marc S. ; Rachev, Svetlozar T..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:106:y:2002:i:1:p:97-107.

    Full description at Econpapers || Download paper

  37. Stationarity and the existence of moments of a family of GARCH processes. (2002). McAleer, Michael ; Ling, Shiqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:106:y:2002:i:1:p:109-117.

    Full description at Econpapers || Download paper

  38. A nonlinear autoregressive conditional duration model with applications to financial transaction data. (2001). Russell, Jeffrey R. ; Tsay, Ruey S. ; Zhang, Michael Yuanjie.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:104:y:2001:i:1:p:179-207.

    Full description at Econpapers || Download paper

  39. Contemporaneous asymmetry in GARCH processes. (2001). Zakoian, Jean-Michel ; El Babsiri, Mohamed ; ELBABSIRI, Mohamed .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:101:y:2001:i:2:p:257-294.

    Full description at Econpapers || Download paper

  40. A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors,. (2001). McAleer, Michael ; Ling, Shiqing.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:0545.

    Full description at Econpapers || Download paper

  41. Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers,. (2001). McAleer, Michael ; Chan, Felix.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:0539.

    Full description at Econpapers || Download paper

  42. Stationarity and the Existence of Moments of a Family of GARCH Processes,. (2001). McAleer, Michael ; Ling, Shiqing.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:0535.

    Full description at Econpapers || Download paper

  43. Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models,. (2001). McAleer, Michael ; Ling, Shiqing.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:0534.

    Full description at Econpapers || Download paper

  44. Spectral tests of the martingale hypothesis under conditional heteroscedasticity. (2000). Deo, Rohit.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:99:y:2000:i:2:p:291-315.

    Full description at Econpapers || Download paper

  45. Multivariate extremes for models with constant conditional correlations. (1999). Starica, Catalin.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:6:y:1999:i:5:p:515-553.

    Full description at Econpapers || Download paper

  46. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

    Full description at Econpapers || Download paper

  47. Fractionally integrated generalized autoregressive conditional heteroskedasticity. (1996). Bollerslev, Tim ; Baillie, Richard ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:74:y:1996:i:1:p:3-30.

    Full description at Econpapers || Download paper

  48. Modeling and pricing long memory in stock market volatility. (1996). Bollerslev, Tim ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:151-184.

    Full description at Econpapers || Download paper

  49. ARCH patterns in cointegrated systems. (1995). Kunst, Robert ; Saez, Marc.
    In: Economics Working Papers.
    RePEc:upf:upfgen:110.

    Full description at Econpapers || Download paper

  50. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-03.

    Full description at Econpapers || Download paper

  51. A discrete and a continuous-time model based on a technical trading rule. (). .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:5:y::i:2:p:266-284.

    Full description at Econpapers || Download paper

  52. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-26 08:05:14 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy