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ChristianRauh garch [10 articles]

Recent papers added to ChristianRauh library classified by the tag garch. You can also see everyone's garch.
  • Testing for a unit root in time series regression
    Biometrika, Vol. 75, No. 2. (1 June 1988), pp. 335-346.
    by Peter C Phillips, Pierre Perron
    posted to autocorrelation garch stationarity da-methods by ChristianRauh on 2008-04-04 18:02:10 as read along with 1 person RobHayward
  • notes Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
    Econometrica, Vol. 50, No. 4. (1982), pp. 987-1007.
    by Robert F Engle
    posted to autocorrelation garch volatility-effects da-methods by ChristianRauh on 2008-02-12 09:01:12 as read along with 1 person willhmoore
  • Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
    Journal of the American Statistical Association, Vol. 65, No. 332. (1970), pp. 1509-1526.
    by GEP Box, David A Pierce
    posted to autocorrelation event-study garch da-methods by ChristianRauh on 2008-02-11 19:07:37 as read
  • On a Measure of Lack of Fit in Time Series Models
    Biometrika, Vol. 65, No. 2. (1978), pp. 297-303.
    by GM Ljung, GEP Box
    posted to autocorrelation event-study garch da-methods by ChristianRauh on 2008-02-11 19:06:41 as read
  • Distribution of the Estimators for Autoregressive Time Series With a Unit Root
    Journal of the American Statistical Association, Vol. 74, No. 366. (1979), pp. 427-431.
    by David A Dickey, Wayne A Fuller
    posted to garch stationarity da-methods by ChristianRauh on 2008-02-11 12:13:07 as read
  • Time-Varying Parameter Regression Models
    American Journal of Political Science, Vol. 27, No. 3. (1983), pp. 557-600.
    by Nathaniel Beck
    posted to garch volatility-effects da-methods by ChristianRauh on 2007-12-04 13:28:40 as read
  • notes Politically Induced Abnormal Returns: How and Why Politics Move Financial Markets
    (March 2004)
    by William Bernhard, David Leblang
    posted to capm emh financial-markets garch volatility-effects da-hypotheses da-methods by ChristianRauh on 2007-12-04 10:28:35 as read
  • Democratic Processes and Financial Markets: Pricing Politics
    (24 July 2006)
    by William Bernhard, David Leblang
    posted to event-study financial-markets garch volatility-effects da-methods by ChristianRauh on 2007-12-04 09:17:20 as read
  • New frontiers for arch models
    Journal of Applied Econometrics, Vol. 17, No. 5. (2002), pp. 425-446.
    by Robert Engle
    posted to garch da-methods by ChristianRauh on 2007-12-04 09:12:05 as read
  • notes Market Models: A Guide to Financial Data Analysis
    (15 November 2001)
    by Carol Alexander
    posted to event-study garch volatility-effects da-methods by ChristianRauh on 2007-08-17 09:16:25 as read
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