Recommendations
Cites work
- A simple nonlinear time series model with misleading linear properties
- Alternative models for stock price dynamics.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Change-point estimation in ARCH models
- Common Persistence in Conditional Variances
- 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
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Long memory and regime switching
- Long memory relationships and the aggregation of dynamic models
- Modeling volatility persistence of speculative returns: a new approach
- Modelling the persistence of conditional variances
- Numerical recipes in C++. The art of scientific computing
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Stochastic volatility as a simple generator of apparent financial power laws and long memory
- Testing for parameter changes in ARCH models
- What good is a volatility model?
Cited in
(54)- Randomised pseudolikelihood ratio change point estimator in GARCH models
- Realized Volatility: A Review
- Detecting structural breaks in realized volatility
- On the tail index inference for heavy-tailed GARCH-type innovations
- Regime-switching stochastic volatility model: estimation and calibration to VIX options
- Robust M-estimation of multivariate GARCH models
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
- Tests for volatility shifts in GARCH against long-range dependence
- Test for parameter change in the presence of outliers: the density power divergence-based approach
- Spurious persistence in stochastic volatility
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Power monotonicity in detecting volatility levels change
- Detecting for smooth structural changes in GARCH models
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Quasi-maximum likelihood estimation for multiple volatility shifts
- Simultaneous inference for time-varying models
- Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
- On the origin of high persistence in GARCH-models
- Sequential detection of parameter changes in dynamic conditional correlation models
- Long memory and regime switching in the stochastic volatility modelling
- Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
- Estimation and prediction of a non-constant volatility
- Time-changed fast mean-reverting stochastic volatility models
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
- A regime-switching Heston model for VIX and S&P 500 implied volatilities
- Parameter Estimation Robust to Low-Frequency Contamination
- Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
- Level changes in volatility models
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
- Long memory with Markov-switching GARCH
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- An analysis of the flexibility of asymmetric power GARCH models
- GARCH with omitted persistent covariate
- (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
- Change points in heavy‐tailed multivariate time series: Methods using precision matrices
- Forecasting volatility with time-varying coefficient regressions
- Sequential monitoring of minimum variance portfolio
- Time-varying asymmetry and tail thickness in long series of daily financial returns
- Flexible Fourier form for volatility breaks
- Testing constancy of unconditional variance in volatility models by misspecification and specification tests
- Modelling structural breaks, long memory and stock market volatility: an overview
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
- Effects of level shifts and temporary changes on the estimation of GARCH models
- Modeling time-varying parameters using artificial neural networks: a GARCH illustration
- The \(L^2\)-structures of standard and switching-regime GARCH models
- Modeling covariance breakdowns in multivariate GARCH
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
- Powerful tests for structural changes in volatility
- Missing mean does no harm to volatility!
This page was built for publication: Neglecting parameter changes in GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q265108)
