Bad environments, good environments: a non-Gaussian asymmetric volatility model
From MaRDI portal
Publication:2346031
DOI10.1016/j.jeconom.2014.06.021zbMath1331.62452OpenAlexW3121730365MaRDI QIDQ2346031
Geert Bekaert, Andrey Ermolov, Eric Engstrom
Publication date: 29 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.06.021
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stochastic models in economics (91B70)
Related Items
Market price of risk estimation: Does distribution matter?, Vector operations for accelerating expensive Bayesian computations - a tutorial guide, Think again: volatility asymmetry and volatility persistence, Extreme downside risk and market turbulence, Sequential Monte Carlo samplers with independent Markov chain Monte Carlo proposals
Uses Software
Cites Work
- Unnamed Item
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Autoregressive conditional heteroskedasticity and changes in regime
- Generalized autoregressive conditional heteroscedasticity
- Stationarity of stable power-GARCH processes.
- Moments of Markov switching models
- Multifrequency jump-diffusions: An equilibrium approach
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Model selection tests for nonlinear dynamic models
- A Test for Normality of Observations and Regression Residuals
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Maximum Likelihood Estimation of Misspecified Models
- Forecasting multifractal volatility