User profiles for Gloria GonzáLez-Rivera
Gloria Gonzalez-RiveraProfessor of Economics Verified email at ucr.edu Cited by 2631 |
Smooth-transition GARCH models
G González-Rivera - Studies in Nonlinear Dynamics & Econometrics, 1998 - degruyter.com
The asymmetric response of conditional variances to positive versus negative news has
been traditionally modeled with threshold specifications that allow only two possible regimes: …
been traditionally modeled with threshold specifications that allow only two possible regimes: …
Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
G González-Rivera, TH Lee, S Mishra - International Journal of forecasting, 2004 - Elsevier
We analyze the predictive performance of various volatility models for stock returns. To
compare their performance, we choose loss functions for which volatility estimation is of …
compare their performance, we choose loss functions for which volatility estimation is of …
The extent, pattern, and degree of market integration: A multivariate approach for the Brazilian rice market
G González‐Rivera, SM Helfand - American Journal of …, 2001 - Wiley Online Library
… Gloria González-Rivera is associate professor and Steven M. Helfand assistant professor
in the Department of Economics at the University of California, Riverside. This article was …
in the Department of Economics at the University of California, Riverside. This article was …
Semiparametric ARCH models
RF Engle, G Gonzalez-Rivera - Journal of Business & Economic …, 1991 - Taylor & Francis
This article introduces a semiparametric autoregressive conditional heteroscedasticity (ARCH)
model that has conditional first and second moments given by autoregressive moving …
model that has conditional first and second moments given by autoregressive moving …
Forecasting with interval and histogram data. Some financial applications
J Arroyo, G González-Rivera… - Handbook of empirical …, 2010 - api.taylorfrancis.com
… Both of these instances could be viewed from the perspective of symbolic data: in Zellner
and Tobias (2000) the data is an interval-valued time series and in González-Rivera, Lee, and …
and Tobias (2000) the data is an interval-valued time series and in González-Rivera, Lee, and …
Constrained regression for interval-valued data
G González-Rivera, W Lin - Journal of Business & Economic …, 2013 - Taylor & Francis
Current regression models for interval-valued data do not guarantee that the predicted lower
bound of the interval is always smaller than its upper bound. We propose a constrained …
bound of the interval is always smaller than its upper bound. We propose a constrained …
Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
We adapt smoothing methods to histogram‐valued time series (HTS) by introducing a
barycentric histogram that emulates the “average” operation, which is the key to any smoothing …
barycentric histogram that emulates the “average” operation, which is the key to any smoothing …
Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns
G Gonzalez-Rivera, J Arroyo - International Journal of Forecasting, 2012 - Elsevier
Histogram time series (HTS) and interval time series (ITS) are examples of symbolic data sets.
Though there have been methodological developments in a cross-sectional environment, …
Though there have been methodological developments in a cross-sectional environment, …
Testing for neglected nonlinearity in regression models based on the theory of random fields
CM Dahl, G González-Rivera - Journal of Econometrics, 2003 - Elsevier
Within a flexible regression model (JD Hamilton, Econometrica 69 (3) (2001) 537) we offer a
battery of new Lagrange multiplier statistics that circumvent the problem of unidentified …
battery of new Lagrange multiplier statistics that circumvent the problem of unidentified …
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
G González-Rivera, FC Drost - Journal of Econometrics, 1999 - Elsevier
In this paper, we investigate the loss of asymptotic efficiency of semiparametric and quasi-maximum-likelihood
estimators relative to maximum-likelihood estimators in models with …
estimators relative to maximum-likelihood estimators in models with …