Asymmetric volatility models with structural breaks

DOI10.1080/03610918.2011.611403MaRDI QIDQ3168366zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymmetryGARCH modelstructural breakvolatilitynews impactGibbs sampling, MCMC

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Recommendations

• Detecting structural breaks in realized volatility
• Bayesian inference of multiple structural change models with asymmetric GARCH errors
• Real time detection of structural breaks in GARCH models
• Structural Breaks in Financial Time Series
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
• Calculating posterior distributions and modal estimates in Markov mixture models
• Change-point estimation in ARCH models
• Detecting parameter shift in garch models
• Dynamic detection of change points in long time series
• Estimation and comparison of multiple change-point models
• Generalized autoregressive conditional heteroscedasticity
• Real time detection of structural breaks in GARCH models
• The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
• Theory and inference for a Markov switching GARCH model
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

Cited in

(9)

• Real time detection of structural breaks in GARCH models
• ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH
• Detection of structural breaks in a time-varying heteroskedastic regression model
• The asymmetry volatility of return in Chinese equity market based on the structural breaks
• Bayesian inference of multiple structural change models with asymmetric GARCH errors
• 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

This page was built for publication: Asymmetric volatility models with structural breaks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3168366)