Asymmetric Volatility Models with Structural Breaks
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Publication:3168366
DOI10.1080/03610918.2011.611403zbMath1250.91083OpenAlexW1994126278MaRDI QIDQ3168366
T. V. Ramanathan, Neelabh Rohan
Publication date: 30 October 2012
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2011.611403
Statistical methods; risk measures (91G70) Bayesian inference (62F15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
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A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference ⋮ Integer autoregressive models with structural breaks
Cites Work
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- Theory and inference for a Markov switching GARCH model
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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