Department of Economics and Business Economics

Timo Teräsvirta

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

Standard

Testing constancy of unconditional variance in volatility models by misspecification and specification tests. / Silvennoinen, Annastiina; Terasvirta, Timo.

In: Studies in Nonlinear Dynamics and Econometrics (Online), Vol. 20, No. 4, 2016, p. 347-364.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

Harvard

Silvennoinen, A & Terasvirta, T 2016, 'Testing constancy of unconditional variance in volatility models by misspecification and specification tests' Studies in Nonlinear Dynamics and Econometrics (Online), vol 20, no. 4, pp. 347-364. DOI: 10.1515/snde-2015-0033

APA

Silvennoinen, A., & Terasvirta, T. (2016). Testing constancy of unconditional variance in volatility models by misspecification and specification tests. Studies in Nonlinear Dynamics and Econometrics (Online), 20(4), 347-364. DOI: 10.1515/snde-2015-0033

CBE

Silvennoinen A, Terasvirta T. 2016. Testing constancy of unconditional variance in volatility models by misspecification and specification tests. Studies in Nonlinear Dynamics and Econometrics (Online). 20(4):347-364. Available from: 10.1515/snde-2015-0033

MLA

Silvennoinen, Annastiina and Timo Terasvirta. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests". Studies in Nonlinear Dynamics and Econometrics (Online). 2016, 20(4). 347-364. Available: 10.1515/snde-2015-0033

Vancouver

Silvennoinen A, Terasvirta T. Testing constancy of unconditional variance in volatility models by misspecification and specification tests. Studies in Nonlinear Dynamics and Econometrics (Online). 2016;20(4):347-364. Available from, DOI: 10.1515/snde-2015-0033

Author

Silvennoinen, Annastiina ; Terasvirta, Timo. / Testing constancy of unconditional variance in volatility models by misspecification and specification tests. In: Studies in Nonlinear Dynamics and Econometrics (Online). 2016 ; Vol. 20, No. 4. pp. 347-364

Bibtex

@article{f932a4bc85fc426ab91109531e6515b0,
title = "Testing constancy of unconditional variance in volatility models by misspecification and specification tests",
author = "Annastiina Silvennoinen and Timo Terasvirta",
year = "2016",
doi = "10.1515/snde-2015-0033",
language = "English",
volume = "20",
pages = "347--364",
journal = "Studies in Nonlinear Dynamics and Econometrics (Online)",
issn = "1558-3708",
publisher = "Walter de Gruyter GmbH",
number = "4",

}

RIS

TY - JOUR

T1 - Testing constancy of unconditional variance in volatility models by misspecification and specification tests

AU - Silvennoinen,Annastiina

AU - Terasvirta,Timo

PY - 2016

Y1 - 2016

U2 - 10.1515/snde-2015-0033

DO - 10.1515/snde-2015-0033

M3 - Journal article

VL - 20

SP - 347

EP - 364

JO - Studies in Nonlinear Dynamics and Econometrics (Online)

T2 - Studies in Nonlinear Dynamics and Econometrics (Online)

JF - Studies in Nonlinear Dynamics and Econometrics (Online)

SN - 1558-3708

IS - 4

ER -