Approximating volatilities by asymmetric power GARCH functions
DOI10.1111/J.1467-842X.2009.00542.XzbMATH Open1337.62332OpenAlexW2116067476MaRDI QIDQ2810372FDOQ2810372
Authors: Jeremy Penzer, Mingjin Wang, Qiwei Yao 
Publication date: 1 June 2016
Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-842x.2009.00542.x
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Cites Work
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Cited In (5)
- ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH
- Asymmetric COGARCH processes
- An analysis of the flexibility of asymmetric power GARCH models
- Asymmetric volatility impulse response functions
- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
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