An econometric analysis of asymmetric volatility: theory and application to patents
DOI10.1016/J.JECONOM.2006.10.014zbMATH Open1418.62517OpenAlexW2095220910MaRDI QIDQ280248FDOQ280248
Felix T. S. Chan, Michael McAleer, Dora Marinova
Publication date: 9 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.10.014
asymmetryasymptotic theoryGARCHvolatilitypatentsEGARCHGJRinternational rankingsnon-nested testspatent sharesregularity conditionstrends
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ARCH modeling in finance. A review of the theory and empirical evidence
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- On a multivariate conditional heteroscedastic model
- Stationarity of GARCH processes and of some nonnegative time series
- Properties of moments of a family of GARCH processes
- Fat tails and asymmetry in financial volatility models.
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Stationarity and the existence of moments of a family of GARCH processes.
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
Cited In (21)
- A detailed comparison of value at risk estimates
- Testing for nonlinearity in mean and volatility for heteroskedastic models
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- A double-threshold GARCH model of stock market and currency shocks on stock returns
- Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
- Forecasting conditional correlations in stock, bond and foreign exchange markets
- Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
- Volatility spillovers from the Chinese stock market to economic neighbours
- Currency hedging strategies using dynamic multivariate GARCH
- Editorial. The econometrics of intellectual property: an overview
- Modelling the asymmetric volatility of electronics patents in the USA.
- Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
- On the invertibility of EGARCH(p, q)
- A decision rule to minimize daily capital charges in forecasting value-at-risk
- Mapping the presidential election cycle in US stock markets
- Bootstrap forecast intervals for asymmetric volatilities via EGARCH model
- A stochastic dominance approach to financial risk management strategies
- Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
- Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
Uses Software
This page was built for publication: An econometric analysis of asymmetric volatility: theory and application to patents
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q280248)
