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Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-16
Persistent link: https://www.econbiz.de/10011966001
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Asymmetric business cycle fluctuations in Caribbean economies
Kiani, Khurshid M. - In: International journal of economic perspectives : IJEP 5 (2011) 2, pp. 121-140
Persistent link: https://www.econbiz.de/10011587461
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Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model
Kiliç, Rehim - In: Journal of empirical finance 18 (2011) 2, pp. 368-378
Persistent link: https://www.econbiz.de/10009301107
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GARCH with omitted persistent covariate
Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254
Persistent link: https://www.econbiz.de/10010493650
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Modeling autoregressive processes with moving-quantiles-implied nonlinearity
Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54
daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …
Persistent link: https://www.econbiz.de/10010478989
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Nob-linear GARCH models for highly persistent volatility
Lanne, Markku; Saikkonen, Pentti - In: The econometrics journal 8 (2005) 2, pp. 251-276
Persistent link: https://www.econbiz.de/10003018967
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Nonlinear GARCH models for highly persistent volatility
Lanne, Markku; Saikkonen, Pentti - 2002
Persistent link: https://www.econbiz.de/10001668610
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Detecting nonlinear dependencies in eurozone peripheral equity markets : a multistep filtering approach
Avdoulas, Christos; Bekiros, Stelios; Boubaker, Sabri - In: Economic modelling 58 (2016), pp. 580-587
Persistent link: https://www.econbiz.de/10011647569
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A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Econometric reviews 39 (2020) 1, pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842