Non‐linear GARCH models for highly persistent volatility
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Cites work
- Autoregressive conditional heteroskedasticity and changes in regime
- Generalized autoregressive conditional heteroscedasticity
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Markov chains and stochastic stability
- Mixing: Properties and examples
- Stationarity of GARCH processes and of some nonnegative time series
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Cited in
(30)- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
- Finite nonparametric grach model for foreign exchange volatility
- Parameter estimation in nonlinear AR-GARCH models
- scientific article; zbMATH DE number 5717347 (Why is no real title available?)
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
- A simple additivity test for conditionally heteroscedastic nonlinear autoregression
- Self-exciting threshold binomial autoregressive processes
- On the origin of high persistence in GARCH-models
- Transition from the Taylor rule to the zero lower bound
- A modified GARCH model with spells of shocks
- Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
- Modeling conditional correlations of asset returns: a smooth transition approach
- Non-negativity conditions for the hyperbolic GARCH model
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- The EWMA Heston model
- Least squares estimation for nonlinear regression models with heteroscedasticity
- Nonstationary nonlinear heteroskedasticity.
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- Modeling the volatility-return trade-off when volatility may be nonstationary
- GARCH with omitted persistent covariate
- On the univariate representation of BEKK models with common factors
- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- Efficient estimation of a multivariate multiplicative volatility model
- Modeling time-varying parameters using artificial neural networks: a GARCH illustration
- Volatility clustering in the presence of time-varying model parameters
- Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
- An Oracle Inequality for Multivariate Dynamic Quantile Forecasting
- Stability of nonlinear AR-GARCH models
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
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