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Non-linear GARCH models for highly persistent volatility
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Cited by:
- Nagapetyan, Artur, 2019. "Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 45-61.
- Emmanuel Afuecheta & Idika E. Okorie & Saralees Nadarajah & Geraldine E. Nzeribe, 2024. "Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 271-304, January.
- Levine, Michael & Li, Jinguang (Tony), 2012. "A simple additivity test for conditionally heteroscedastic nonlinear autoregression," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2421-2429.
- Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
- repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
- Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
- Ngozi G. Emenogu & Monday Osagie Adenomon & Nwaze Obini Nweze, 2020. "On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-25, December.
- Day Yang Liu & Ming Chen Chun & Yi Kai Su, 2021. "The impacts of Covid-19 pandemic on the smooth transition dynamics of stock market index volatilities for the Four Asian Tigers and Japan," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 10(4), pages 183-194, June.
- Vito Polito, 2020. "Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective," CESifo Working Paper Series 8060, CESifo.
- Day-Yang Liu & Chun-Ming Chen & Yi-Kai Su, 2020. "The Impact of COVID-19 Pandemic on the Smooth Transition Dynamics of Broad-based Indices Volatilities in Taiwan," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(5), pages 1-14.
- Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
- Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2011.
"Contemporaneous-Threshold Smooth Transition GARCH Models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
- Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella.
- Philippe Charlot & Vêlayoudom Marimoutou, 2008. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model," Working Papers halshs-00285866, HAL.
- Monday Osagie Adenomon & Richard Adekola Idowu, 2022. "Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks," FinTech, MDPI, vol. 2(1), pages 1-20, December.
- Tobias A. Möller & Maria Eduarda Silva & Christian H. Weiß & Manuel G. Scotto & Isabel Pereira, 2016. "Self-exciting threshold binomial autoregressive processes," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 369-400, October.
- Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
- Stein, Michael & Islami, Mevlud & Lindemann, Jens, 2012. "Identifying time variability in stock and interest rate dependence," Discussion Papers 24/2012, Deutsche Bundesbank.
- Hsiang-Hsi Liu & Chun-Chou Wu & Yi Kai Su, 2012. "The influence of direct cross-straits shipping on the smooth transition dynamics of stock volatilities of shipping companies," Applied Financial Economics, Taylor & Francis Journals, vol. 22(16), pages 1331-1342, August.
- Annastiina Silvennoinen & Timo Teräsvirta, 2005.
"Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations,"
Research Paper Series
168, Quantitative Finance Research Centre, University of Technology, Sydney.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005.
- Annastiina Silvennoinen & Timo Ter�svirta, 2015.
"Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 174-197, February.
- Annastiina Silvennoinen & Timo Teräsvirta, 2012. "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers 2012-09, Department of Economics and Business Economics, Aarhus University.
- Brownlees, Christian & Llorens-Terrazas, Jordi, 2024. "Empirical risk minimization for time series: Nonparametric performance bounds for prediction," Journal of Econometrics, Elsevier, vol. 244(1).
- Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
- Hubner, Stefan, 2016. "Topics in nonparametric identification and estimation," Other publications TiSEM 08fce56b-3193-46e0-871b-0, Tilburg University, School of Economics and Management.
- Malmsten, Hans, 2004. "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004.
- Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo, 2022.
"Transition from the Taylor rule to the zero lower bound,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(5), pages 635-647, December.
- Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Transition from the Taylor rule to the zero lower bound," CREATES Research Papers 2018-31, Department of Economics and Business Economics, Aarhus University.
- Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.