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26 research outputs found
Oracally efficient estimation and testing for an ARCH model with trend
Author
Amemiya T.
Bollerslev T.
Fuller W. A.
Milhoj A.
Publication venue
'Informa UK Limited'
Publication date
Field of study
No full text
Crossref
A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
Author
Bollerslev T.
Luukkonen R.
+3 more
Milhoj A.
Silverman B. W.
Weiss A. A.
Publication venue
'Wiley'
Publication date
Field of study
No full text
Crossref
Small sample properties of asymptotically equivalent tests for autoregressive conditional heteroskedasticity
Author
A. Milhoj
A. Milhoj
+22 more
A. Pagan
C.W.J. Granger
D.F. Hendry
F.X. Diebold
F.X. Diebold
Francis X. Diebold
G. Mizon
H. White
I. Domowitz
Peter Pauly
R.F. Engle
R.F. Engle
R.F. Engle
R.F. Engle
R.F. Engle
R.F. Engle
R.F. Engle
T. Bollerslev
T. Bollerslev
T. Bollerslev
T. Bollerslev
T. Breusch
Publication venue
'Springer Science and Business Media LLC'
Publication date
Field of study
No full text
Crossref
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS
Author
Abramowitz M.
Cox D. R.
+6 more
Hannan E. J.
Hosking J. R. M.
Kendall G. M.
Milhoj A.
Wahba G.
Whittle P.
Publication venue
'Wiley'
Publication date
Field of study
No full text
Crossref
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS
Author
Box G. E. P.
Granger C. W. J.
+9 more
Li W. K.
Lutkepohl H.
McLeod A. J.
Milhoj A.
Pearson E. S.
Taylor S. J.
Weiss A. A.
Weiss A. A.
Weiss A. A.
Publication venue
'Wiley'
Publication date
Field of study
No full text
Crossref
High serum creatinine nonlinearity: a renal vital sign?
Author
Basile DP
Carlos E. Palant
+8 more
Charles Faselis
Hayashi K
Lakhmir S. Chawla
Milhoj A
Paul L. Kimmel
Ping Li
Richard L. Amdur
Thomas L. Pallone
Publication venue
'American Physiological Society'
Publication date
Field of study
No full text
Crossref
Univariate ARCH Models
Author
A Bera
A Bera
+36 more
A Harvey
A Milhoj
A Milhoj
AA Weiss
AA Weiss
AA Weiss
AA Weiss
AF Nemec
DB Nelson
DF Nicholls
FX Diebold
FX Diebold
FX Diebold
FX Diebold
FX Diebold
FX Diebold
I Domowitz
J Duan
JM McCulloch
KR French
M Sampson
R Engle
RF Engle
RF Engle
RF Engle
RF Engle
RF Engle
RS Tsay
RT Engle
RY Chou
S Pantula
T Bollerslev
T Bollerslev
T Bollerslev
T Bollerslev
T Bollerslev
Publication venue
'Springer Science and Business Media LLC'
Publication date
01/01/1997
Field of study
No full text
Crossref
Asymptotic properties of some tests for autocorrelation
Author
Anderson T.W.
Box G.E.P.
+12 more
Brillinger D.R.
Cox D.R.
Hostttng J.R.M.
Ljtthg G.M.
Mcleod I.A.
Milhoj A.
Newbold P.
Pentti Saikkonen
Rao C.R.
Saikkoistek P.
Wahba G.
Whittle P.
Publication venue
'Informa UK Limited'
Publication date
Field of study
No full text
Crossref
Why ARCH/GARCH Are Used in Finance? An Application of Sport Related Stocks in Turkey
Author
A K Bera
A Milhoj
+19 more
A Pandey
C Francq
H Mitchell
HHlya nll
J Jasiak
J Johnston
Merve Karacaer Ulusoy
P Christoffersen
P H Franses
P Wang
R Dahlhaus
R Engle
R F Engle
R F Engle
R Perrelli
S T Rachev
T Bollerslev
T Bollerslev
Zvi Griliche
Publication venue
'Elsevier BV'
Publication date
01/01/2017
Field of study
No full text
Crossref
Forecasting quarterly movements of the lira/pound-sterling exchange rate: Random walks, drift, seasonality and variable parameters
Author
A. C. Pollock
A. Milhoj
+20 more
A.C. Harvey
A.C. Harvey
A.C. Pollock
A.C. Pollock
A.C. Pollock
C.M. Jarque
D. Alexander
D.E. Logue
F.O. Bilson
H. Theil
I.H. Giddy
M.W. Watson
P. Boothe
P.D. McNelis
R.E. Crumby
R.F. Engle
R.F. Engle
T. Bollerslev
T.C. Chiang
T.C. Chiang
Publication venue
Publication date
Field of study
No full text
Crossref
Research Papers in Economics
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