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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
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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
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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
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Asymmetrical effects of expected inflation on stock returns
Kolluri, Bharat R.; Wahab, Mamoud S. - 2007
Persistent link: https://www.econbiz.de/10003753443
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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 the autoregressive parameters follow random walks. The random walks in the parameters capture permanent structural change within a regime switching framework, but in contrast to...
Persistent link: https://www.econbiz.de/10003309371
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Real-time detection of the business cycle using SETAR models
Ferrara, Laurent; Guégan, Dominique - In: Growth and cycle in the Euro-zone, (pp. 221-232). 2006
Persistent link: https://www.econbiz.de/10003412187
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The autocorrelation functions in SETARMA models
Amendola, Alessandra; Niglio, Marcella; Vitale, Cosimo - In: Optimisation, econometric and financial analysis, (pp. 127-141). 2007
Persistent link: https://www.econbiz.de/10003544747
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Maximum entropy test for autoregressive models
Lee, Sangyeol; Park, Siyun - In: Uncertainty analysis in econometrics with applications …, (pp. 119-128). 2013
Persistent link: https://www.econbiz.de/10009711159
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Forward prices in markets driven by continuous-time autoregressive processes
Benth, Fred Espen; Blanco, Ana Solanilla - In: Recent advances in financial engineering 2012 : …, (pp. 1-24). 2014
Persistent link: https://www.econbiz.de/10010359912
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Noncausal autoregressive model in application to bitcoin/USD exchange rates
Hencic, Andrew; Gouriéroux, Christian - In: Econometrics of risk, (pp. 17-40). 2015
Persistent link: https://www.econbiz.de/10010498586