scholarly journals Specification testing in nonparametric AR‐ARCH models

2018 ◽  
Vol 46 (1) ◽  
pp. 26-58
Author(s):  
Marie Hušková ◽  
Natalie Neumeyer ◽  
Tobias Niebuhr ◽  
Leonie Selk
Keyword(s):  
Specification Testing ◽  
Arch Models

scholarly journals Nonparametric Specification Testing for Hammerstein Systems

2015 ◽  
Vol 48 (28) ◽  
pp. 392-397 ◽  
Author(s):  
Miros law Pawlak ◽  
Jiaqing Lv
Keyword(s):  
Specification Testing ◽  
Hammerstein Systems

Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Hiroyuki Kawakatsu
Keyword(s):  
Moving Average ◽  
Curse Of Dimensionality ◽  
Moving Averages ◽  
Conditional Covariance ◽  
Arch Models ◽  
Empirical Application ◽  
Proposed Model ◽  
Out Of Sample ◽  
Weight Model ◽  
Weighted Moving Average

AbstractThis paper considers a class of multivariate ARCH models with scalar weights. A new specification with hyperbolic weighted moving average (HWMA) is proposed as an analogue of the EWMA model. Despite the restrictive dynamics of a scalar weight model, the proposed model has a number of advantages that can deal with the curse of dimensionality. The empirical application illustrates that the (pseudo) out-of-sample multistep forecasts can be surprisingly more accurate than those from the DCC model.

MCMC Methods for Periodic AR-Arch Models

2001 ◽  
Vol 34 (12) ◽  
pp. 67-70
Author(s):  
Wolfgang Polasek
Keyword(s):  
Mcmc Methods ◽  
Arch Models

scholarly journals Normalized least-squares estimation in time-varying ARCH models

2008 ◽  
Vol 36 (2) ◽  
pp. 742-786 ◽  
Author(s):  
Piotr Fryzlewicz ◽  
Theofanis Sapatinas ◽  
Suhasini Subba Rao
Keyword(s):  
Least Squares ◽  
Least Squares Estimation ◽  
Time Varying ◽  
Arch Models
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