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 / 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
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Analysis of time series subject to changes in regime
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
+Normal rank
@@ Property / cites work @@
+Infinite-order, long-memory heterogeneous autoregressive models
+Normal rank
@@ Property / cites work @@
+The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
+Normal rank
@@ 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
+Normal rank