GARCH MODELS IV
Wednesday 28th August 2002,
09:30 - 11:00
Room: 4.7
Session Chair(s):
Jurgen Doornik, Nuffield College, University of Oxford, UNITED KINGDOM
Category: Econometrics
NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
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Presenter(s): |
Benedikt M Poetscher, University of Vienna, AUSTRIA |
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Co-Author(s): |
none |
MULTIVARIATE DIAGONAL FIGARCH: SPECIFICATION, ESTIMATION AND APPLICATION TO MODELLING EXCHANGE RATES VOLATILITY
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Presenter(s): |
Laszlo Matyas, Central European University, HUNGARY |
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Co-Author(s): |
Szilard Pafka, Eotvos Lorant University, Budapest, HUNGARY |
OUTLIER DETECTION IN GARCH MODELS
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Presenter(s): |
Jurgen Doornik, Nuffield College, University of Oxford, UNITED KINGDOM |
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Co-Author(s): |
Marius Ooms, Free University Amsterdam, NETHERLANDS |
Total Papers in This session: 3
Session Ref: 664
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