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Random walk smooth transition autoregressive models

Anderson, Heather M.; Low, Chin Nam - In: Nonlinear time series analysis of business cycles, (pp. 247-281). 2006

This paper extends the family of smooth transition autoregressive (STAR) models by proposing a speci.cation in which … within a regime switching framework, but in contrast to the time varying STAR (TV-STAR) speci.cation introduced by Lundbergh … et al (2003), structural change in our random walk STAR (RW-STAR) setting follows a stochastic process rather than a …

Persistent link: https://www.econbiz.de/10003309371

A predictive comparison of some simple long- and short memory models of daily US stock returns, with emphasis on business cycle effects

Bhardwaj, Geetesh; Swanson, Norman R. - In: Nonlinear time series analysis of business cycles, (pp. 379-405). 2006

Persistent link: https://www.econbiz.de/10003309394

Application of Copula models for modeling one-dimensional time series

Onishchenko, Vadim; Penikas, Henry - In: Financial econometrics and empirical market microstructure, (pp. 225-239). 2015

Persistent link: https://www.econbiz.de/10011326630

Construction and backtesting of a multi-factor stress-scenario for the stock market

Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015

Persistent link: https://www.econbiz.de/10011326724

A survey of recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Papers in efficiency, effectiveness and international …, (pp. 128-153). 2000

Persistent link: https://www.econbiz.de/10001684387

Asset pricing with observable stochastic discount factors

Smith, Peter N.; Wickens, Michael R. - In: Contributions to financial econometrics : theoretical …, (pp. 161-210). 2003

Persistent link: https://www.econbiz.de/10001932664

The search for chaos and nonlinearities in Swedish stock index returns

Amilon, Henrik - In: Essays on financial models, (pp. 9-36). 2000

Persistent link: https://www.econbiz.de/10001551217

Financial industry and oil price volatility : an analysis on Central and Eastern Europe

Vrinceanu, Georgiana; Horobet, Alexandra; Popescu, Consuela - In: The changing financial landscape : financial …, (pp. 41-63). 2021

the financial industry, as well as Brent crude oil prices, to estimate a two-stage GARCH (1,1) to capture the effects of … temporal dependence in oil prices volatility on financial industry firms’ returns. The GARCH model is complemented by Granger …

Persistent link: https://www.econbiz.de/10012805648

Forecasting and backtesting of market risks in emerging markets

Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021

-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH …

Persistent link: https://www.econbiz.de/10012591721

ARCH models and an application on exchange rate volatility : ARCH and GARCH models

Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021

by nonlinear methods. This chapter discusses the GARCH models (GARCH, GJR, EGARCH), which are nonlinear models, and tests … indicated that the GARCH (1,1) model successfully explained the volatility in the exchange rate. …

Persistent link: https://www.econbiz.de/10012604258