Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model (Q286453): Difference between revisions

@@ Property / author @@
-Eun-Ju Hwang
@@ Property / author: Eun-Ju Hwang / rank @@
-Normal rank
@@ Property / author @@
+Eun-Ju Hwang
@@ Property / author: Eun-Ju Hwang / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 62E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E05
@@ Property / Mathematics Subject Classification ID: 60E05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6583285
@@ Property / zbMATH DE Number: 6583285 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+regime-switching GARCH model
@@ Property / zbMATH Keywords: regime-switching GARCH model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volatility
@@ Property / zbMATH Keywords: volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+asymptotic normality
@@ Property / zbMATH Keywords: asymptotic normality / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2016.04.002
+Normal rank
@@ Property / OpenAlex ID @@
+W2320000550
@@ Property / OpenAlex ID: W2320000550 / rank @@
+Normal rank
@@ Property / cites work @@
+Theory and inference for a Markov switching GARCH model
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Regime switching in foreign exchange rates: Evidence from currency option prices
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+Generalized autoregressive conditional heteroscedasticity
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Analysis of time series subject to changes in regime
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Infinite-order, long-memory heterogeneous autoregressive models
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+The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
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@@ Property / cites work @@
+On dynamics of volatilities in nonstationary GARCH models
+Normal rank
@@ Property / cites work @@
+ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
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@@ links / mardi / name / links / mardi / name @@
+Publication:286453