GARCH MODELS II
Monday 26th August 2002,
09:30 - 11:00
Room: 1.8
Session Chair(s):
Felix Chan, University of Western Australia, AUSTRALIA
Category: Econometrics
A BOUNDED INFLUENCE ESTIMATION AND OUTLIER DETECTION FOR ARCH/GARCH MODELSWITH AN APPLICATION TO FOREIGN EXCHANGE RATES
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Presenter(s): |
Chihwa Kao, Syracuse University, UNITED STATES |
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Co-Author(s): |
Jinliang Li, Northeastern University, UNITED STATES |
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
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Presenter(s): |
Changli He, Stockholm School of Economics, SWEDEN |
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Co-Author(s): |
Timo Teräsvirta, Stockholm School of Economics, SWEDEN |
MAXIMUM LIKELIHOOD ESTIMATION OF STAR AND STAR-GARCH MODELS: A MONTE CARLO ANALYSIS
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Presenter(s): |
Felix Chan, University of Western Australia, AUSTRALIA |
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Co-Author(s): |
Michael McAleer, University of Western Australia, AUSTRALIA |
Total Papers in This session: 3
Session Ref: 610
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