Aaron D Smallwood
Biographic Data
| ID | 9595674 |
|---|---|
| NAME | Aaron D Smallwood |
| GIVEN NAMES | Aaron D |
| FAMILY NAME | Smallwood |
| SIGNATURE | SMALLWOOD A D |
| AFFILIATIONS | Department of Economics University of Texas Arlington 701 S. West Street. (mailbox: 19479) Arlington Texas 76019 USA |
| ORCID | 0000-0002-8509-3327 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
Inference in Misspecified GARCH‐M Models
The manuscript studies testing methods in systems with relationships between observed variables and conditional variances drawn from popular multivariate GARCH models. Although these methods have been extensively used to study the effects of uncertainty proxied by GARCH variables, inferential results are absent under misspecification or when using multi‐step estimators. Concentrating on test statistics for the hypothesis of no uncertainty impact,…
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Inference in Misspecified GARCH‐M Models
The manuscript studies testing methods in systems with relationships between observed variables and conditional variances drawn from popular multivariate GARCH models. Although these methods have been extensively used to study the effects of uncertainty proxied by GARCH variables, inferential results are absent under misspecification or when using multi‐step estimators. Concentrating on test statistics for the hypothesis of no uncertainty impact,…
Autoregressive conditional heteroskedasticity (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Estimator (1 work) · Financial Risk and Volatility Modeling (1 work) · Heteroscedasticity (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work)