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Details about Mika Meitz

E-mail:
Homepage:http://blogs.helsinki.fi/meitz/
Postal address:Department of Political and Economic Studies, Economics, P. O. Box 17 (Arkadiankatu 7), FIN-00014 University of Helsinki, Finland
Workplace:Politiikan ja Talouden Tutkimuksen Laitos (Department of Political and Economic Studies), Valtiotieteellinen tiedekunta (Faculty of Social Sciences), Helsingin Yliopisto (University of Helsinki), (more information at EDIRC)
Helsinki Center for Economic Research (HECER), (more information at EDIRC)

Access statistics for papers by Mika Meitz.

Last updated 2018-03-04. Update your information in the RePEc Author Service.

Short-id: pme81


Jump to Journal Articles Edited books

Working Papers

2017

  1. Testing for observation-dependent regime switching in mixture autoregressive models
    Papers, arXiv.org Downloads View citations (1)

2015

  1. Identification and estimation of non-Gaussian structural vector autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (13)
    See also Journal Article in Journal of Econometrics (2017)

2012

  1. Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (2013)
  2. Testing for Predictability in a Noninvertible ARMA Model
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads

2010

  1. A note on the geometric ergodicity of a nonlinear AR–ARCH model
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads View citations (2)
    See also Journal Article in Statistics & Probability Letters (2010)
  2. Parameter estimation in nonlinear AR–GARCH models
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads
    Also in Economics Working Papers, European University Institute (2008) Downloads View citations (1)
    Economics Series Working Papers, University of Oxford, Department of Economics (2008) Downloads View citations (1)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (7)

2007

  1. Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (3)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2007) Downloads View citations (9)

    See also Journal Article in Econometric Theory (2008)
  2. Stability of nonlinear AR-GARCH models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (4)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (2)
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2006) Downloads View citations (2)

    See also Journal Article in Journal of Time Series Analysis (2008)

2005

  1. A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (1)
    See also Journal Article in Econometric Theory (2006)

2004

  1. Evaluating models of autoregressive conditional duration
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (3)
    See also Journal Article in Journal of Business & Economic Statistics (2006)

Journal Articles

2017

  1. Identification and estimation of non-Gaussian structural vector autoregressions
    Journal of Econometrics, 2017, 196, (2), 288-304 Downloads View citations (25)
    See also Working Paper (2015)

2016

  1. Gaussian mixture vector autoregression
    Journal of Econometrics, 2016, 192, (2), 485-498 Downloads View citations (13)

2015

  1. A Gaussian Mixture Autoregressive Model for Univariate Time Series
    Journal of Time Series Analysis, 2015, 36, (2), 247-266 Downloads View citations (15)

2013

  1. Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
    Journal of Multivariate Analysis, 2013, 114, (C), 227-255 Downloads View citations (8)
    See also Working Paper (2012)
  2. Testing for Linear and Nonlinear Predictability of Stock Returns
    Journal of Financial Econometrics, 2013, 11, (4), 682-705 Downloads View citations (2)

2011

  1. PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
    Econometric Theory, 2011, 27, (6), 1236-1278 Downloads View citations (14)

2010

  1. A note on the geometric ergodicity of a nonlinear AR-ARCH model
    Statistics & Probability Letters, 2010, 80, (7-8), 631-638 Downloads View citations (2)
    See also Working Paper (2010)

2008

  1. ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
    Econometric Theory, 2008, 24, (5), 1291-1320 Downloads View citations (36)
    See also Working Paper (2007)
  2. Stability of nonlinear AR‐GARCH models
    Journal of Time Series Analysis, 2008, 29, (3), 453-475 Downloads View citations (16)
    See also Working Paper (2007)

2006

  1. A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
    Econometric Theory, 2006, 22, (5), 985-988 Downloads View citations (3)
    See also Working Paper (2005)
  2. Evaluating Models of Autoregressive Conditional Duration
    Journal of Business & Economic Statistics, 2006, 24, 104-124 Downloads View citations (48)
    See also Working Paper (2004)

Edited books

2014

  1. Essays in Nonlinear Time Series Econometrics
    OUP Catalogue, Oxford University Press View citations (1)
 
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