international econometric journal
in Russian language
Rossi, Eduardo. Univariate GARCH models: a survey
This article
presents a survey of the developments of univariate GARCH models. ARCH, GARCH,
EGARCH and other possible nonlinear extensions are examined. Conditions for
stationarity (weak and strong) are presented. Inference and testing is
presented in the quasi-maximum likelihood framework. Continuous GARCH
approximations are discussed.
This
essay tries to provide a straightforward and sufficiently accessible
demonstration of some known procedures for stochastic volatility model. It re
Yaskov, Pavel. Testing for predictive ability in the presence of
structural breaks
We
propose a new approach to testing for predictive ability in the presence of
structural breaks in data. Our approach extends the well-known results of West
(1996) and West & McCracken (1998), and is alternative to methods developed
in Giacomini & White (2006) and Giacomini & Rossi (2010).