Understanding the jump dynamics of market prices is important for asset pricing and risk management. Despite their analytical tractability, parametric models may impose unrealistic restrictions on the temporal dependence structure of jumps. In this paper, we introduce a nonparametric inference...

A family of threshold nonlinear generalised autoregressive conditionally heteroscedastic models is considered, that allows smooth transitions between regimes, capturing size asymmetry via an exponential smooth transition function. A Bayesian approach is taken and an efficient adaptive sampling...

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...