Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
DOI10.1016/J.SPL.2016.04.002zbMATH Open1343.62058OpenAlexW2320000550MaRDI QIDQ286453FDOQ286453
Authors: Won-Tak Hong, Eunju Hwang 
Publication date: 20 May 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.04.002
Recommendations
- On dynamics of volatilities in nonstationary GARCH models
- Non‐linear GARCH models for highly persistent volatility
- VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS
- The impact of general non-parametric volatility functions in multivariate GARCH models
- Renorming volatilities in a family of GARCH models
- A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- Generalised long-memory GARCH models for intra-daily volatility
- Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
Probability distributions: general theory (60E05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive conditional heteroskedasticity and changes in regime
- 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
- Title not available (Why is that?)
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- Analysis of time series subject to changes in regime
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Infinite-order, long-memory heterogeneous autoregressive models
- Regime switching in foreign exchange rates: Evidence from currency option prices
- Theory and inference for a Markov switching GARCH model
- On dynamics of volatilities in nonstationary GARCH models
- The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
Cited In (9)
- VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS
- On dynamics of volatilities in nonstationary GARCH models
- A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function
- Non‐linear GARCH models for highly persistent volatility
- Nonnegative GARCH-type models with conditional Gamma distributions and their applications
- A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
- Modeling the volatility-return trade-off when volatility may be nonstationary
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
This page was built for publication: Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q286453)
