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The correct regularity condition and interpretation of asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - In: Economics letters 161 (2017), pp. 52-55

Persistent link: https://www.econbiz.de/10011903867

Sequential Monte Carlo for fractional stochastic volatility models

Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517

Persistent link: https://www.econbiz.de/10011906404

Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100

Persistent link: https://www.econbiz.de/10011894402

The correct regularity condition and interpretation of asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - 2017

In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is … the negative correlation between returns shocks and subsequent shocks to volatility (see Black 1979). McAleer (2014 …

Persistent link: https://www.econbiz.de/10011688332

On a threshold double autoregressive model

Li, Dong; Ling, Shiqing; Zhang, Rongmao - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 68-80

Persistent link: https://www.econbiz.de/10011691211

Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes

Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547

Persistent link: https://www.econbiz.de/10011663340

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

Persistent link: https://www.econbiz.de/10011705111

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85

Persistent link: https://www.econbiz.de/10011594405

Score-driven exponentially weighted moving averages and Value-at-Risk forecasting

Lucas, André; Zhang, Xin - In: International journal of forecasting 32 (2016) 2, pp. 293-302

Persistent link: https://www.econbiz.de/10011596763

Information theoretic optimality of observation driven time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …

Persistent link: https://www.econbiz.de/10010340740