Level changes in volatility models

DOI10.1007/S10436-010-0163-5MaRDI QIDQ470520zbMATH OpenOpenAlexFDO

Authors Mihaela Craioveanu, Eric Hillebrand

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-010-0163-5

zbMATH Keywords

ARMAGARCHrealized volatilitypersistencestochastic volatilityVARHAR-RVlevel shifts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

Recommendations

• A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• On the origin of high persistence in GARCH-models
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
• Effects of level shifts and temporary changes on the estimation of GARCH models

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A simple nonlinear time series model with misleading linear properties
• ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Bayesian analysis of switching ARCH models
• Change-point estimation in ARCH models
• Conditional heteroskedasticity driven by hidden Markov chains
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Estimating and Testing Linear Models with Multiple Structural Changes
• Fully Bayesian analysis of switching Gaussian state space models
• Generalized autoregressive conditional heteroscedasticity
• Generating schemes for long memory processes: regimes, aggregation and linearity
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Long memory and regime switching
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• Modelling the persistence of conditional variances
• Neglecting parameter changes in GARCH models
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Testing for parameter changes in ARCH models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Time series properties of ARCH processes with persistent covariates

Cited in

(5)

• Spurious persistence in stochastic volatility
• A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
• Analysis of time series with multiple shifts of levels and volatilities
• Shifts in volatility driven by large stock market shocks
• GARCH with omitted persistent covariate

This page was built for publication: Level changes in volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470520)