Asymmetric GARCH processes featuring both threshold effect and bilinear structure

DOI10.1016/J.SPL.2011.11.023MaRDI QIDQ419142zbMATH OpenOpenAlexFDO

Authors M. S. Choi, J. A. Park, S. Y. Hwang

Publication date 18 May 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.11.023

zbMATH Keywords

threshold GARCHasymmetric volatilitybilinear GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• ARCH models and financial applications
• Analysis of financial time series
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
• BL-GARCH models and asymmetries in volatility
• BL-GARCH models with elliptical distributed innovations
• Estimation and tests for power-transformed and threshold GARCH models
• Generalized autoregressive conditional heteroscedasticity
• ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
• Properties of moments of a family of GARCH processes
• Quadratic ARCH Models
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Stationarity and the existence of moments of a family of GARCH processes.
• Statistical models and methods for financial markets

Cited in

(18)

• Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• Quantum prediction GJR model and its applications
• BL-GARCH models and asymmetries in volatility
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
• Markov-switching BILINEAR-GARCH models: structure and estimation
• On the existence of stationary threshold bilinear processes
• The copula directional dependence by stochastic volatility models
• On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
• Model selection based on value-at-risk backtesting approach for GARCH-type models
• QMLE of periodic time-varying bilinear– GARCH models
• Volatility asymmetry in functional threshold GARCH model
• Non-ergodic martingale estimating functions and related asymptotics
• Persistent-threshold-GARCH processes: model and application
• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
• Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
• Spectral analysis for GARCH processes through a bilinear representation
• Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model

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