Related content

Detecting level shifts in ARMA-GARCH (1,1) Models

By Trivez F. Javier   Catalan Beatriz  

Journal of Applied Statistics, Vol. 36, Iss. 6, 2009-06 ,pp. : 679-697

Taylor & Francis Ltd

Access to resources Recommend Favorite

Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand

By Kulikova M. V.  

Journal of Applied Statistics, Vol. 40, Iss. 3, 2013-03 ,pp. : 495-507

Taylor & Francis Ltd

Access to resources Recommend Favorite

Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

By Storti Giuseppe  

Statistical Methods and Applications, Vol. 17, Iss. 2, 2008-05 ,pp. : 251-274

Springer Publishing Company

Access to resources Recommend Favorite

Time-varying vector autoregressive models with stochastic volatility

By Triantafyllopoulos K.  

Journal of Applied Statistics, Vol. 38, Iss. 2, 2011-02 ,pp. : 369-382

Taylor & Francis Ltd

Access to resources Recommend Favorite

An empirical Bayesian forecast in the threshold stochastic volatility models

By Fan Tsai-Hung   Wang Yi-Fu  

Journal of Statistical Computation and Simulation, Vol. 83, Iss. 3, 2013-03 ,pp. : 486-500

Taylor & Francis Ltd

Access to resources Recommend Favorite