All in the family Nesting symmetric and asymmetric GARCH models

Citations

Cited by:

1. H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 45-59, March.
2. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.
   • Manabu Asai & Michael McAleer, 2011. "Dynamic Conditional Correlations for Asymmetric Processes," Documentos de Trabajo del ICAE 2011-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
   • Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CARF F-Series CARF-F-168, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
   • Manabu Asai & Michael McAleer, 2010. "Dynamic Conditional Correlations for Asymmetric Processes," Working Papers in Economics 10/76, University of Canterbury, Department of Economics and Finance.
   • Manabu Asai & Michael McAleer, 2010. "Dynamic Conditional Correlations for Asymmetric Processes," KIER Working Papers 747, Kyoto University, Institute of Economic Research.
   • Asai, M. & McAleer, M.J., 2010. "Dynamic Conditional Correlations for Asymmetric Processes," Econometric Institute Research Papers EI 2010-76, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
3. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.
   • Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank.
   • Tom Doan, "undated". "RATS program to estimate various forms of DCC GARCH models," Statistical Software Components RTZ00174, Boston College Department of Economics.
4. Sofia Anyfantaki & Antonis Demos, 2016. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 293-310, February.
   • Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
5. Neenu Chalissery & Suhaib Anagreh & Mohamed Nishad T. & Mosab I. Tabash, 2022. "Mapping the Trend, Application and Forecasting Performance of Asymmetric GARCH Models: A Review Based on Bibliometric Analysis," JRFM, MDPI, vol. 15(9), pages 1-23, September.
6. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
7. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
8. Taufiq Choudhry, 2000. "Meltdown of 1987 and meteor showers among Pacific-Basin stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 71-80.
9. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
10. Jérôme Detemple & Carlton Osakwe, 2000. "The Valuation of Volatility Options," Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
    • Jérôme Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO.
11. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers 1923, C.E.P.R. Discussion Papers.
    • John Y. Campbell & Martin Lettau, 1999. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," NBER Working Papers 7144, National Bureau of Economic Research, Inc.
12. Wolff, Christian & Lehnert, Thorsten, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
13. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
    • Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
14. Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.
    • Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
    • Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.
    • Asai, M. & McAleer, M.J., 2010. "Alternative Asymmetric Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-69, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," KIER Working Papers 739, Kyoto University, Institute of Economic Research.
15. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
16. Zhao, Xin & Scarrott, Carl John & Oxley, Les & Reale, Marco, 2011. "GARCH dependence in extreme value models with Bayesian inference," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1430-1440.
17. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
    • Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
    • ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
18. Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
19. Sánchez-Fung, José R., 2008. "The day-to-day interbank market, volatility, and central bank intervention in a developing economy," MPRA Paper 15648, University Library of Munich, Germany.
    • Sanchez-Fung, Jose R., 2008. "The day-to-day interbank market, volatility, and central bank intervention in a developing economy," Economics Discussion Papers 2008-2, School of Economics, Kingston University London.
20. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2013. "Conditional Volatility Asymmetry Of Business Cycles: Evidence From Four Oecd Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 33-56, September.
21. Tully, Edel & Lucey, Brian M., 2007. "A power GARCH examination of the gold market," Research in International Business and Finance, Elsevier, vol. 21(2), pages 316-325, June.
22. Claudio E. V. Borio & Robert N. McCauley, 1995. "The anatomy of the bond market turbulence of 1994," BIS Working Papers 32, Bank for International Settlements.
    • Claudio E.V. Borio & Robert N. McCauley, 1998. "The Anatomy of the Bond Market Turbulence of 1994," Macroeconomics 9809004, University Library of Munich, Germany, revised 24 Feb 1999.
    • Claudio E. V. Borio & Robert N. McCauley, 1996. "The Anatomy of the Bond Market Turbulence of 1994," Economics Working Paper Archive wp_159, Levy Economics Institute.
23. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
    • Vicente Meneu & Hipolit Torro, "undated". "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
24. André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013. "Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 400-441, March.
    • Santos, André A. P. & Nogales, Francisco J., 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.
25. Colm Kearney & Valerio Poti, 2004. "Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp015, IIIS.
26. repec:awi:wpaper:0472 is not listed on IDEAS
27. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
    • John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
    • Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
28. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
29. Vladimir Tsenkov, 2009. "Financial Markets Modelling," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 87-96.
30. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
31. Zaffaroni, Paolo & d'Italia, Banca, 2003. "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, vol. 115(2), pages 199-258, August.
    • Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research and International Relations Area.
32. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
    • Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
33. Şener, Emrah & Baronyan, Sayad & Ali Mengütürk, Levent, 2012. "Ranking the predictive performances of value-at-risk estimation methods," International Journal of Forecasting, Elsevier, vol. 28(4), pages 849-873.
34. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
    • Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2003s-26, CIRANO.
    • Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," NBER Working Papers 10913, National Bureau of Economic Research, Inc.
    • Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
35. Min-Hsien Chiang & Cheng-Yu Wang, 2002. "The impact of futures trading on spot index volatility: evidence for Taiwan index futures," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 381-385.
36. Lehnert, Thorsten & Wolff, Christian C. P., 2004. "Scale-consistent Value-at-Risk," Finance Research Letters, Elsevier, vol. 1(2), pages 127-134, June.
37. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
    • Ho, Kin-Yip & Tsui, Albert K. & Zhang, Zhaoyong, 2009. "Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2856-2868.
38. Colm Kearney & Valerio Potì, 2008. "Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," European Financial Management, European Financial Management Association, vol. 14(3), pages 419-444, June.
    • Colm Kearney & Valerio Poti, 2006. "Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," The Institute for International Integration Studies Discussion Paper Series iiisdp132, IIIS.
39. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
40. Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
41. Baumöhl, Eduard, 2013. "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper 43834, University Library of Munich, Germany.
42. Meitz, Mika & Saikkonen, Pentti, 2008. "Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1291-1320, October.
    • Meitz, Mika & Saikkonen, Pentti, 2004. "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 573, Stockholm School of Economics, revised 20 Apr 2007.
    • Mika Meitz & Pentti Saikkonen & University of Helsinki, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
43. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
44. Christian A.Johnson, 2001. "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 217-247, December.
    • Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile.
45. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
    • Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series 169, Quantitative Finance Research Centre, University of Technology, Sydney.
    • Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, Department of Economics and Business Economics, Aarhus University.
46. Xuan Vinh Vo & Kevin Daly, 2008. "Volatility amongst firms in the Dow Jones Eurostoxx50 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 569-582.
47. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
    • FERNANDES, Marcelo & GRAMMIG, Joachim, 2001. "A family of autoregressive conditional duration models," LIDAM Discussion Papers CORE 2001036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 501, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    • Fernandes, Marcelo & Grammig, Joachim, 2002. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 440, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
48. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
49. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
50. Muller, Aline & Verschoor, Willem F.C., 2006. "Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 495-518, October.
51. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November.
52. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
    • Julien Chevallier, 2011. "Detecting Instability in the Volatility of Carbon Prices," Post-Print hal-00991957, HAL.
53. Yi-Ting Chen & Zhongjun Qu, 2015. "M Tests with a New Normalization Matrix," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 617-652, May.
    • Zhongjun Qu & Yi-Ting Chen, 2010. "M Tests with a New Normalization Matrix," Boston University - Department of Economics - Working Papers Series WP2010-050, Boston University - Department of Economics.
54. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
    • Hautsch, Nikolaus, 2007. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," SFB 649 Discussion Papers 2007-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Hautsch, Nikolaus, 2007. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series 2007/25, Center for Financial Studies (CFS).
55. Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014. "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, vol. 37(C), pages 518-530.
56. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
    • Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO.
    • Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, Department of Economics and Business Economics, Aarhus University.
57. Michael Weylandt & Yu Han & Katherine B. Ensor, 2019. "Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility," Papers 1907.10152, arXiv.org.
58. Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
59. Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
    • Daniel Preve & Anders Eriksson & Jun Yu, "undated". "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers CoFie-02-2007, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    • Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
    • Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
60. Chan-Lau, Jorge A. & Ivaschenko, Iryna, 2003. "Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 303-322, December.
61. Saker Sabkha & Christian de Peretti, 2018. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Working Papers hal-01710398, HAL.
62. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
63. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
    • Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics.
    • Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," FRB Atlanta Working Paper 2003-28, Federal Reserve Bank of Atlanta.
64. Jin-Chuan Duan & Peter H. Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Papers (Old Series) 0619, Federal Reserve Bank of Cleveland.
65. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
    • Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003. "On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2003_0306, CEMFI.
66. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
67. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
    • Carmen Broto, 2012. "The effectiveness of forex interventions in four Latin American countries," Working Papers 1226, Banco de España.
68. Jose Sanchez-Fung, 2003. "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 247-250.
    • Sanchez-Fung, Jose R., 2002. "Non-linear modeling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Economics Discussion Papers 2002-4, School of Economics, Kingston University London.
69. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April.
    • M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Center for Research in Economics and Statistics.
70. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
71. Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, vol. 31(2), pages 316-321, March.
72. Dimitriou, Dimitrios & Simos, Theodore, 2011. "The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach," MPRA Paper 37528, University Library of Munich, Germany.
73. Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2002. "Volatility clustering and nontrading days in Chinese stock markets," Journal of Economics and Business, Elsevier, vol. 54(2), pages 193-217.
74. Viviana Fernandez, 2005. "Time-Scale Decomposition of Price Transmission in International Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(4), pages 57-90, August.
    • Viviana Fernandez, 2004. "Time-Scale Decomposition of Price Transmission in International Markets," Documentos de Trabajo 189, Centro de Economía Aplicada, Universidad de Chile.
75. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
76. Daal, Elton & Naka, Atsuyuki & Sanchez, Benito, 2005. "Re-examining inflation and inflation uncertainty in developed and emerging countries," Economics Letters, Elsevier, vol. 89(2), pages 180-186, November.
77. Rodríguez, Mª José, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.
78. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
79. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
80. Gerrit Reher & Bernd Wilfling, 2016. "A nesting framework for Markov-switching GARCH modelling with an application to the German stock market," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 411-426, March.
81. Daly, Kevin & Vo, Vinh, 2008. "Idiosyncratic risk in the Dow Jones Eurostoxx50 Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(16), pages 4261-4271.
82. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, vol. 85(1), pages 123-150, July.
83. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
84. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Calendar anomalies in the Malaysian stock market," MPRA Paper 516, University Library of Munich, Germany.
85. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
86. Reboredo, Juan C., 2011. "How do crude oil prices co-move?: A copula approach," Energy Economics, Elsevier, vol. 33(5), pages 948-955, September.
87. Bohl, Martin T. & Brzeszczynski, Janusz & Wilfling, Bernd, 2009. "Institutional investors and stock returns volatility: Empirical evidence from a natural experiment," Journal of Financial Stability, Elsevier, vol. 5(2), pages 170-182, June.
88. David S. Bates, 2003. "Maximum Likelihood Estimation of Latent Affine Processes," NBER Working Papers 9673, National Bureau of Economic Research, Inc.
89. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
90. Elchin Suleymanov & Magsud Gubadli & Ulvi Yagubov, 2024. "Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: An Implementation on Nasdaq-100," Risks, MDPI, vol. 12(5), pages 1-20, May.
91. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
92. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
93. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
94. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
    • Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
95. Tzu-Yi Yang & Yu-Tai Yang, 2015. "A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 361-383, June.
96. David McMillan & Alan Speight, 2003. "Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures," Applied Financial Economics, Taylor & Francis Journals, vol. 13(8), pages 599-607.
97. Saker Sabkha & Christian de Peretti, 2022. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Post-Print hal-01710398, HAL.
98. Darren Butterworth, 2000. "The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contract," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 439-442.
99. Yi-Hsien Wang & Chin-Tsai Lin, 2009. "The political uncertainty and stock market behavior in emerging democracy: the case of Taiwan," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(2), pages 237-248, March.
100. Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
101. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
102. Jose Sanchez-Fung, 2008. "Modelling the term structure of interest rates in a small emerging market economy," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 93-103.
103. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
104. Wu, Guojun & Xiao, Zhijie, 2002. "A generalized partially linear model of asymmetric volatility," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 287-319, August.
105. Lee, Oesook, 2012. "V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 812-817.
106. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
107. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
108. Stavros Degiannakis & George Filis & Renatas Kizys, 2013. "Oil price shocks and stock market volatility: evidence from European data," Working Papers 161, Bank of Greece.
109. Y. C. Su & H. C. Huang & Y. J. Lin, 2011. "GJR-GARCH model in value-at-risk of financial holdings," Applied Financial Economics, Taylor & Francis Journals, vol. 21(24), pages 1819-1829, December.
110. Christian A. Johnson, 2000. "Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos," Working Papers Central Bank of Chile 76, Central Bank of Chile.
111. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
112. Torro, Hipolit, 2009. "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper 18892, University Library of Munich, Germany.
113. Sarkar, Nityananda, 2000. "Arch model with Box-Cox transformed dependent variable," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 365-374, December.
114. Fernandes, Marcelo & de Sa Mota, Bernardo & Rocha, Guilherme, 2005. "A multivariate conditional autoregressive range model," Economics Letters, Elsevier, vol. 86(3), pages 435-440, March.
115. Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September.
     • Tom Doan, "undated". "RATS programs to replicate Gray's 1996 Regime Switching GARCH paper," Statistical Software Components RTZ00080, Boston College Department of Economics.
116. Vladimir Tsenkov, 2011. "Efficient-Market Hypothesis and the Global Financial Crises – on the Example of SOFIX, DJIA and DAX Indexes," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 53-88.
117. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, University of Reading.
118. Fuenzalida, Darcy & Mongrut, Samuel & Arteaga, Jaime Raúl & Erausquin, Alexander, 2013. "Good corporate governance: Does it pay in Peru?," Journal of Business Research, Elsevier, vol. 66(10), pages 1759-1770.
119. Manabu Asai & Michael McAleer, 2005. "Dynamic Asymmetric Leverage in Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 317-332.
120. McKenzie, Michael D., 1999. "Power transformation and forecasting the magnitude of exchange rate changes," International Journal of Forecasting, Elsevier, vol. 15(1), pages 49-55, February.
121. Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.