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On a threshold heteroscedastic model

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Cited by:

  1. Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, vol. 28(3), pages 557-574.
  2. Chen, Cathy W.S. & Hsu, Hsiao-Yun & Watanabe, Toshiaki, 2023. "Tail risk forecasting of realized volatility CAViaR models," Finance Research Letters, Elsevier, vol. 51(C).
  3. Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 489-499.
  4. Chen, Cathy W.S. & Chan, Jennifer S.K. & So, Mike K.P. & Lee, Kevin K.M., 2011. "Classification in segmented regression problems," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2276-2287, July.
  5. Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012. "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 165-184.
  6. Yang, Yung-Lieh & Chang, Chia-Lin, 2008. "A double-threshold GARCH model of stock market and currency shocks on stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 458-474.
  7. So, Mike K.P. & Chan, Raymond K.S., 2014. "Bayesian analysis of tail asymmetry based on a threshold extreme value model," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 568-587.
  8. Chen, Cathy W.S. & Lee, Sangyeol, 2016. "Generalized Poisson autoregressive models for time series of counts," Computational Statistics & Data Analysis, Elsevier, vol. 99(C), pages 51-67.
  9. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  10. Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
  11. Chen, Cathy W.S. & Yang, Ming Jing & Gerlach, Richard & Jim Lo, H., 2006. "The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 401-418.
  12. So, Mike K.P. & Chen, Cathy W.S. & Lee, Jen-Yu & Chang, Yi-Ping, 2008. "An empirical evaluation of fat-tailed distributions in modeling financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 96-108.
  13. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.
  14. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2990-3010, February.
  15. Liu, Xialu & Chen, Rong, 2020. "Threshold factor models for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 53-70.
  16. Guo, Jinggang & Johnston, Craig M.T., 2021. "Do protectionist trade policies integrate domestic markets? Evidence from the Canada-U.S. softwood lumber dispute," Forest Policy and Economics, Elsevier, vol. 130(C).
  17. Chen, Cathy W.S. & Wang, Zona & Sriboonchitta, Songsak & Lee, Sangyeol, 2017. "Pair trading based on quantile forecasting of smooth transition GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 38-55.
  18. Thomas C. Chiang & Cathy W.S. Chen & Mike K.P. So, 2007. "Asymmetric Return and Volatility Responses to Composite News from Stock Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 11(3-4), pages 179-210, September.
  19. So, Mike K.P. & Chan, Thomas W.C. & Chu, Amanda M.Y., 2022. "Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management," Journal of Econometrics, Elsevier, vol. 227(1), pages 151-167.
  20. Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 487-502.
  21. Funke, Michael & Shu, Chang & Cheng, Xiaoqiang & Eraslan, Sercan, 2015. "Assessing the CNH–CNY pricing differential: Role of fundamentals, contagion and policy," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 245-262.
  22. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 327-340.
  23. Cathy W.S. Chen & Toshiaki Watanabe, 2019. "Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 747-765, May.
  24. Liu, Hsiang-Hsi & Chuang, Wen-I & Huang, Jih-Jeng & Chen, Yu-Hao, 2016. "The overconfident trading behavior of individual versus institutional investors," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 518-539.
  25. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
  26. Gerlach, Richard & Tuyl, Frank, 2006. "MCMC methods for comparing stochastic volatility and GARCH models," International Journal of Forecasting, Elsevier, vol. 22(1), pages 91-107.
  27. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
  28. Wang, Kai Y.K. & Chen, Cathy W.S. & So, Mike K.P., 2023. "Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
  29. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 194-209.
  30. Zeng, Zijian & Li, Meng, 2021. "Bayesian median autoregression for robust time series forecasting," International Journal of Forecasting, Elsevier, vol. 37(2), pages 1000-1010.
  31. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
  32. So, Mike K.P. & Choi, C.Y., 2008. "A multivariate threshold stochastic volatility model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 306-317.
  33. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
  34. Chen, Cathy W.S. & Liu, Feng-Chi & Pingal, Aljo Clair, 2023. "Integer-valued transfer function models for counts that show zero inflation," Statistics & Probability Letters, Elsevier, vol. 193(C).
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