A data-dependent approach to modeling volatility in financial time series

DOI10.1007/s13571-014-0094-7zbMath1312.62132MaRDI QIDQ2347550

Ashis K. Gangopadhyay, Jianing Di

Publication date: 28 May 2015

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-014-0094-7

zbMATH Keywords

random models; asymmetric GARCH; dynamic volatility; self-adjusting; local cross-correlation; time-varying asymmetry

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

Uses Software

• TDSL
• TSDL

Cites Work

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• Threshold heteroskedastic models