Nonstationary nonlinear heteroskedasticity
By Joon Y. Park. 2002
59 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/a8a595fe99f2ff27763313eea6b5c1c81ebdf97f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Giuseppe Cavaliere
- Alan M. Taylor
- Heejoon Han
- Robert J. Taylor
- Matei Demetrescu
- S. Leybourne
- Christoph Hanck
- M. Schularick
In Finance
- Giuseppe Cavaliere
- Alan M. Taylor
- Heejoon Han
- M. Schularick
- Hélène Rey
- Thomas Steger
- S. Leybourne
- Ò. Jordà
Citations in the corpus
- HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “Note that our framework covers many (although not all) of the models falling within the NNH class defined in Park (2002a).”
- Testing for a change in persistence in the presence of non-stationary volatility☆ (2008, background): “Similarly, many of the ‘nonstationary non-linear heteroskedastic’ (NNH) time series models of Park (2002) can also be cast within this framework.”
- Asymptotic Properties of GARCH-X Processes (2015, methodology): “Park (2002) …rst applied these asymptotics in the conditional variance model.”