A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

DOI10.1016/j.jeconom.2008.09.032zbMath1429.62405OpenAlexW2008361621MaRDI QIDQ299262

Michael McAleer, Marcelo C. Medeiros

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/176027

zbMATH Keywords

forecastingleveragerisk managementrealized volatilityfinancial econometricsheterogeneous autoregressionmodel combinationsign and size asymmetriessmooth transition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) 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)

Related Items (22)

Forecasting realized volatility: a review ⋮ Infinite-order, long-memory heterogeneous autoregressive models ⋮ Fractionally differenced Gegenbauer processes with long memory: a review ⋮ True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison ⋮ The implied arbitrage mechanism in financial markets ⋮ Nonlinear high-frequency stock market time series: Modeling and combine forecast evaluations ⋮ Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ Asymptotic theory for regressions with smoothly changing parameters ⋮ A self-normalization test for correlation change ⋮ Modeling time-varying parameters using artificial neural networks: a GARCH illustration ⋮ Modeling tick-by-tick realized correlations ⋮ Realized Volatility: A Review ⋮ Quantile forecasts for financial volatilities based on parametric and asymmetric models ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling ⋮ Estimation and inference in unstable nonlinear least squares models ⋮ Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight ⋮ Long Memory, Realized Volatility and Heterogeneous Autoregressive Models ⋮ Time-varying multi-regime models fitting by genetic algorithms ⋮ Sparse Change-point HAR Models for Realized Variance ⋮ Proximity-Structured Multivariate Volatility Models ⋮ Specification and structural break tests for additive models with applications to realized variance data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On leverage in a stochastic volatility model
• Generating schemes for long memory processes: regimes, aggregation and linearity
• Neglecting parameter changes in GARCH models
• Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Testing the adequacy of smooth transition autoregressive models
• Long memory relationships and the aggregation of dynamic models
• A simple nonlinear time series model with misleading linear properties
• Autoregressive conditional heteroskedasticity and changes in regime
• On a threshold autoregression with conditional heteroscedastic variances
• The detection and estimation of long memory in stochastic volatility
• Generalized autoregressive conditional heteroscedasticity
• A nonlinear long memory model, with an application to US unemployment.
• Evaluating GARCH models.
• Tree-structured Generalized Autoregressive Conditional Heteroscedastic Models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Nonlinear Regression with Dependent Observations
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Realized Volatility: A Review
• Moving Average-Based Estimators of Integrated Variance
• Refined Inference on Long Memory in Realized Volatility
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Non‐trading day effects in asymmetric conditional and stochastic volatility models
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Consequences and Detection of Misspecified Nonlinear Regression Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Diagnostic Checking in a Flexible Nonlinear Time Series Model
• A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• Stochastic volatility as a simple generator of apparent financial power laws and long memory
• Local Global Neural Networks
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Functional-Coefficient Autoregressive Models
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Model Selection Uncertainty and Detection of Threshold Effects
• Modeling and Forecasting Realized Volatility
• Multivariate Stochastic Volatility: A Review
• Asymmetric Multivariate Stochastic Volatility
• Dynamic Asymmetric Leverage in Stochastic Volatility Models
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• A Tale of Two Time Scales
• Threshold heteroskedastic models
• Change point estimation in regressions with \(I(d)\) variables.
• Long memory and regime switching

This page was built for publication: A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries