Volatility asymmetry in functional threshold GARCH model (Q5111779)

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scientific article; zbMATH DE number 7205082
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English
Volatility asymmetry in functional threshold GARCH model
scientific article; zbMATH DE number 7205082

    Statements

    title
    Volatility asymmetry in functional threshold GARCH model (English)
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    publication date
    27 May 2020
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    zbMATH Keywords
    functional time series
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    threshold GARCH
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    asymmetry
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    volatility
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    news impact curve (NIC)
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    Identifiers

    DOI
    10.1111/jtsa.12495
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    Mathematics Subject Classification ID
    62M10
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    62R10
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    62P20
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    91B84
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    zbMATH DE Number
    7205082
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    OpenAlex ID
    W2964081995
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    Wikidata QID
    Q127487210
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