Estimation and tests for power-transformed and threshold GARCH models
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Publication:290965
DOI10.1016/J.JECONOM.2007.06.004zbMATH Open1418.62345OpenAlexW2133155497WikidataQ91904649 ScholiaQ91904649MaRDI QIDQ290965FDOQ290965
Howell Tong, Hui Wang, Jiazhu Pan
Publication date: 3 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc7116990
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asymptotic normalityWald testquasi-maximum likelihood estimatorleast absolute deviations estimationorder selectionpower transformationPTTGARCH structurethreshold GARCH
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)
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Cited In (43)
- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- A residual-based test for multivariate GARCH models using transformed quadratic residuals
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- On the tail index inference for heavy-tailed GARCH-type innovations
- Asymmetric linear double autoregression
- Semiparametric efficient adaptive estimation of the GJR-GARCH model
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Hybrid quantile estimation for asymmetric power GARCH models
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
- PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- Test for tail index constancy of GARCH innovations based on conditional volatility
- A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
- On the distribution estimation of power threshold GARCH processes
- Daily nonparametric ARCH(1) model estimation using intraday high frequency data
- On the probabilistic structure of power threshold generalized ARCH stochastic processes
- Persistent-threshold-GARCH processes: model and application
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
- QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
- Estimation of multivariate asymmetric power GARCH models
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
- Bayesian analysis of periodic asymmetric power GARCH models
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- A note on portmanteau tests for conditional heteroscedastistic models
- Estimating GARCH models: when to use what?
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors
- Title not available (Why is that?)
- Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
- A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors
- Non-ergodic martingale estimating functions and related asymptotics
- Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Outliers and misleading leverage effect in asymmetric GARCH-type models
- Power periodic threshold GARCH model: Structure and estimation
- Inference in nonstationary asymmetric GARCH models
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