Asymmetric volatility models with structural breaks
DOI10.1080/03610918.2011.611403zbMATH Open1250.91083OpenAlexW1994126278MaRDI QIDQ3168366FDOQ3168366
Authors: Neelabh Rohan, T. V. Ramanathan 
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
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Bayesian inference (62F15) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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
- Calculating posterior distributions and modal estimates in Markov mixture models
- Estimation and comparison of multiple change-point models
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
- Change-point estimation in ARCH models
- Theory and inference for a Markov switching GARCH model
- Real time detection of structural breaks in GARCH models
- Detecting parameter shift in garch models
- Dynamic detection of change points in long time series
- Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
Cited In (6)
- ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH
- Detection of structural breaks in a time-varying heteroskedastic regression model
- Asymmetric volatility impulse response functions
- A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
- Integer autoregressive models with structural breaks
- Bad environments, good environments: a non-Gaussian asymmetric volatility model
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