find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We …

Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular … of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of …

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one. …

, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. …

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …