Showing 1 - 10 of 27,251
Persistent link: https://www.econbiz.de/10012607208
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
Persistent link: https://www.econbiz.de/10008668600
non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth …
Persistent link: https://www.econbiz.de/10008990694
Persistent link: https://www.econbiz.de/10010474888
Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In …
Persistent link: https://www.econbiz.de/10011739849
Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic...
Persistent link: https://www.econbiz.de/10011918367
Persistent link: https://www.econbiz.de/10015048288
Persistent link: https://www.econbiz.de/10012939622