Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure

• Autor(a) principal: Amado, Cristina
• Data de Publicação: 2008
• Outros Autores: Teräsvirta, Timo
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/1822/7674
• topic: Conditional heteroskedasticity; Structural change; Lagrange multiplier test; Misspecification test; Nonlinear time series; Time-varying parameter model

Material from this paper has been presented at the International Symposium on Econometric Theory and Applications, Xiamen, April 2006; 5th Annual International Conference Forecasting Financial Markets and Economic Decision-making, Lodz, May 2006; 13th International Conference on Forecasting Financial Markets, Marseille, May-June 2006; 26th International Symposium on Forecasting, Santander, June 2006; Workshop Volatility day, Stockholm, November 2006; Nordic Econometric Meeting, Tartu, May 2007; Symposium on "Long Memory", Aarhus, June-July 2007; LACEA-LAMES, Bogotá, October 2007; and at the seminars at Banca d’Italia, Rome, European University Institute, Florence, Humboldt University, Berlin, University of Minho, Braga, Stockholm School of Economics, Leonard N. Stern School of Business at New York University, and University of Vilnius. We would like to thank the articipants at these occasions for their comments, and Stefan Lundbergh, Mika Meitz, Anders Rahbek and Esther Ruiz for useful discussions and suggestions. The responsibility for any errors and hortcomings in this article remains ours.