Contemporaneous-threshold smooth transition GARCH models

DOI10.2202/1558-3708.1755zbMATH Open1229.62120OpenAlexW2137964765MaRDI QIDQ3081589FDOQ3081589

Authors: Michael J. Dueker, Martin Sola, Fabio Spagnolo, Zacharias Psaradakis 

Publication date: 9 March 2011

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.utdt.edu/download.php?fname=_125201432533831800.pdf

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Cited In (7)

• Bayesian estimation of smooth transition GARCH model using Gibbs sampling
• Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models
• Title not available (Why is that?)
• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Multivariate contemporaneous-threshold autoregressive models
• Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
• Modeling time-varying parameters using artificial neural networks: a GARCH illustration

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