A discussion on the robustness of conditional heteroskedasticity models: Simulation evidence and applications of the crude oil returns-Reference-Cited by-同舟云学术

A discussion on the robustness of conditional heteroskedasticity models: Simulation evidence and applications of the crude oil returns

Published:2022-01 Issue: Volume:44 Page:102053
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Shi Yanlin^ORCID

Funder

Macquarie University

Publisher

Elsevier BV

Subject

Finance

Reference13 articles.

1. Blasques, F., Koopman, S. J., Lucas, A., 2017. Maximum likelihood estimation for score-driven models. Tinbergen Institute Discussion Paper 14-029/III.

2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

3. A conditional heteroskedastic time series model for speculative prices and rates of return;Bollerslev;Review of Economics and Statistics,1987

4. Generalized autoregressive score models with applications;Creal;Journal of Applied Econometrics,2013

5. Discussions on the zero-drift GARCH model: Evidence from an Markov regime-switching extension;Feng;Finance Research Letters,2020

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Robustness and spurious long memory: evidence from the generalized autoregressive score models;Annals of Operations Research;2023-07-05

2. Oil tail-risk forecasts: from financial crisis to COVID-19;Risk Management;2022-08-27

3. A discussion on the robust vector autoregressive models: novel evidence from safe haven assets;Annals of Operations Research;2022-08-18

4. Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model;Journal of Financial Econometrics;2022-03-04