international econometric journal
in Russian language

no. 8

july 2010


Econometric literacy: volatility


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.

Tsyplakov, Alexander. Revealing the arcane: an introduction to the art of stochastic volatility models

This essay tries to provide a straightforward and sufficiently accessible demonstration of some known procedures for stochastic volatility model. It reviews important concepts and gives informal derivations of related methods. The essay is meant to be useful as a cookbook for a novice. The exposition is confined to classical (non-Bayesian) framework.


Problems and solutions


Problems 8.1, 8.2, 8.3

Solutions 7.1, 7.2, 7.3


Articles: econometric theory


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).


© International econometric journal in Russian language Quantile, 2006–2013
The materials of the journal and this website must be properly cited and referenced