He, Changli, Teräsvirta, Timo, Gónzalez, Andrés
In this article we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural...
Parameterizing unconditional skewness in models for financial time series (2008)
He, Changli, Silvennoinen, Annastiina, Teräsvirta, Timo
In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore...
Parameterizing Unconditional Skewness in Models for Financial Time Series (2008)
He, Changli, Silvennoinen, Annastiina, Teräsvirta, Timo
In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore...
Dickey-Fuller type of tests against non-linear dynamic models (2006)
He, Changli, Strandberg, Rickard
In this paper, we introduce several test statistics testing the null hypothesis of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the...
Christopher Malcuit, Jason G. Knott, Changli He, Tara Wainwright, Jan B. Parys, James M. Robl, ...
It is widely believed that stimulation of the phosphoinositide pathway and production of 1,4,5-inositol trisphosphate (IP3) underlies the oscillatory changes in the concentration of intracellular...
An extended constant conditional correlation GARCH model and its fourth-moment structure (2004)
The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against...
Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change
He, Changli, Sandberg, Rickard
In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain...
Dickey-Fuller Type of Tests against Nonlinear Dynamic Models
He, Changli, Sandberg, Rickard
In this paper we introduce several test statistics of testing the null hypotheses of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the...
He, Changli, Sandberg, Rickard
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross...
Parameterizing Unconditional Skewness in Models for Financial Time Series
Changli He, Annastiina Silvennoinen, Timo Teräsvirta
In this paper we consider the third-moment structure of a class of nonlinear time series models. Empirically it is often found that the marginal distribution of financial time series is skewed....
An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure.
The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against...
Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels
He, Changli, Sandberg, Rickard
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We...
Properties of Moments of a Family of GARCH Processes
This paper considers the moments of a family of first-order GARCH processes. First, a general condition of the existence of any integer moment of the absolute values of the observations is given....
Dickey-Fuller Type of Tests against Nonlinear Dynamic Models
In this paper, we introduce several test statistics testing the null hypothesis of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the...
FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH(p,q) process is given and also an expression for the moment itself. Furthermore,...
MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
He, Changli, Ter Svirta, Timo, Malmsten, Hans
In this paper we consider the moment structure of a class of first-order exponential generalized autoregressive conditional heteroskedasticity (GARCH) models. This class contains as special cases...
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against...
Fourth Moment Structure of the GARCH (p, q) Process
In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH (p, q) process is given as well as an expression for the moment itself....
Nonnegativety constraints on the parameters of the GARCH (p, Q) model may be relaxed without giving up the requirement of the conditional variance remaining non- negative with probability one. This...
Statistical Properties of the Asymmetric Power ARCH Process
The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility. Its performance is compared with that of standard models of conditional...
Higher-order dependence in the general Power ARCH process and a special case
In this paper we consider a general first-order power ARCH process and, in particular, a special case in which the power parameter approaches zero. These considerations give us the autocorrelation...
Fourth Moment Structure of a Family of First-Order Exponential GARCH Models
He, Changli, Teräsvirta, Timo, Malmsten, Hans
In this paper we consider the fourth moment structure of a class of first-order Exponential GARCH models. This class contains as special cases both the standard Exponential GARCH model and the...
Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process
In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered. Conditions for the existence of any arbitrary unconditional moment are given....
Testing parameter constancy in stationary vector autoregressive models against continuous change
He, Changli, Teräsvirta, Timo, González, Andres
In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural...
An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure
The constant conditional correlation GARCH model is probably the most frequently applied multivariate GARCH model. In this paper we consider an extension to this model and examine its fourth-moment...
In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH...
Parameterizing unconditional skewness in models for financial time series
Changli He, Annastiina Silvennoinen, Timo Teräsvirta
In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore...
FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH(p,q) process is given and also an expression for the moment itself. Furthermore,...
MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
He, Changli, Ter Svirta, Timo, Malmsten, Hans
In this paper we consider the moment structure of a class of first-order exponential generalized autoregressive conditional heteroskedasticity (GARCH) models. This class contains as special cases...
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against...
Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
Changli He, Timo Terasvirta, Andres Gonzalez
In this article we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural...
Parameterizing Unconditional Skewness in Models for Financial Time Series
Changli He, Annastiina Silvennoinen, Timo Teräsvirta
In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore...