Modelling the persistence of conditional variances
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Publication:3756387
GARCHasset pricing theoryautoregressive conditional heteroscedasticityexchange rate determinationconditional kurtosisARCH-type modelsgeneralizing the conditional densityintegrated in variancemodelling conditional variancesmodelling of risk and uncertaintynonlinear conditional heteroscedasticityStudent-\(t\) distribution with unknown degrees of freedomtime aggregated models
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- Econometric Implications of the Rational Expectations Hypothesis
- Exogeneity
- Rational expectations equilibrium with conditioning on past prices: A mean-variance example
Cited in
(only showing first 100 items - show all)- The persistence in volatility of the US term premium 1970--1986
- Fractionally integrated time varying GARCH model
- Qualitative threshold ARCH models
- On the Transmission of Memory in Garch‐in‐Mean Models
- Arch model with Box-Cox transformed dependent variable
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
- Statistical inference for time-inhomogeneous volatility models.
- Rational bubbles. A test
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- Neglecting parameter changes in GARCH models
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Estimation and tests for power-transformed and threshold GARCH models
- Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals
- Characterizing heteroskedasticity
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
- Tests for volatility shifts in GARCH against long-range dependence
- Diagnostic check for heavy tail in linear time series
- When panic makes you blind: a chaotic route to systemic risk
- Autoregressive Conditional Density Estimation
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Assessing the value of Hermite densities for predictive distributions
- Exploring exchange rate returns at different time horizons
- Stochastic regularization for the mean-variance allocation scheme
- Econometric tests of rationality and market efficiency
- The dynamics of the relationship between spot and futures markets under high and low variance regimes
- Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- scientific article; zbMATH DE number 7578230 (Why is no real title available?)
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Liquidity tail risk and credit default swap spreads
- Quasi-maximum likelihood estimation for multiple volatility shifts
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- On regression-based tests for persistence in logarithmic volatility models
- Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
- On stationarity and ergodicity of the bilinear model with applications to GARCH models
- Estimating a covariance matrix for market risk management and the case of credit default swaps
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Asymptotic nonequivalence of GARCH models and diffusions
- Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
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- Stationarity of GARCH processes and of some nonnegative time series
- The benefits of bagging for forecast models of realized volatility
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
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- Evaluation of volatility predictions in a VaR framework
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- An Alternative Methodology for Combining Different Forecasting Models
- An empirical re-examination of the dividend–investment relation
- GARCH model selection criteria
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- Analytic Hessian matrices and the computation of FIGARCH estimates
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- The Kullback-Leibler autodependogram
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- The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- On the relation between GARCH and stable processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Processes for stocks capturing their statistical properties from one day to one year
- Testing for persistence in stock returns with GARCH-stable shocks
- Mean-variance portfolio management with functional optimization
- ARCH models as diffusion approximations
- Volatility conditional on price trends
- Hysteresis and cyclical variability in real wages, output and unemployment: empirical evidence from nonlinear methods for the United States
- Modelling and testing for market volatility
- An Introduction to Univariate GARCH Models
- Integrated variance forecasting: model based vs. reduced form
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Deviation measure in second‐order stochastic dominance with an application to enhanced indexing
- Robust omega ratio optimization using regular vines
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Testing for ARCH in the presence of a possibly misspecified conditional mean
- Filtering for risk assessment of interbank network
- Option pricing under stochastic volatility models with latent volatility
- Sequential monitoring for changes from stationarity to mild non-stationarity
- Adjustment costs in mean-variance efficiency analysis
- Prediction in dynamic models with time-dependent conditional variances
- Local scale models. State space alternative to integraded GARCH processes
- Probabilistic models and statistics for electronic financial markets in the digital age
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- Level changes in volatility models
- Minimum density power divergence estimator for GARCH models
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