Econometric analysis of volatility component models

DOI10.1017/S0266466614000334MaRDI QIDQ5247357zbMATH OpenOpenAlexFDO

Authors Fangfang Wang, Eric Ghysels

Publication date 24 April 2015

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466614000334

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

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Cites work

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Cited in

(11)

• Econometric analysis of volatile art markets
• Statistical decomposition of volatility
• An econometric analysis of asymmetric volatility: theory and application to patents
• A neural network enhanced volatility component model
• VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS
• Prioritizing of volatility models: a computational analysis using data envelopment analysis
• Locally Stationary Multiplicative Volatility Modeling
• Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
• Inference on GARCH-MIDAS models without any small-order moment
• Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices
• Adaptive Group LASSO for the GARCH-MIDAS Model

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