Modelling the persistence of conditional variances
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ARCH-type modelsasset pricing theoryautoregressive conditional heteroscedasticityconditional kurtosisexchange rate determinationGARCHgeneralizing 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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Cites work
- ARMA MODELS WITH ARCH ERRORS
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Econometric Implications of the Rational Expectations Hypothesis
- Exogeneity
- scientific article; zbMATH DE number 3958501 (Why is no real title available?)
- Rational expectations equilibrium with conditioning on past prices: A mean-variance example
Cited in
(only showing first 100 items - show all)- Multiscale local change point detection with applications to value-at-risk
- Covariance stationary GARCH-family models with long memory property
- Exact predictive densities for linear models with ARCH disturbances
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- ARCH modeling in finance. A review of the theory and empirical evidence
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Prediction in dynamic models with time-dependent conditional variances
- Stationarity of GARCH processes and of some nonnegative time series
- Qualitative threshold ARCH models
- The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean
- Long-term equity anticipation securities and stock market volatility dynamics
- Local scale models. State space alternative to integraded GARCH processes
- Pricing of permanent and transitory volatility for U.S. stock returns. A composite GARCH model
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
- The persistence in volatility of the US term premium 1970--1986
- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
- A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
- Geometric ergodicity of a general ARCH type model
- Efficient estimation in semiparametric GARCH models
- Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing
- Explaining bond returns in heterogeneous agent models: The importance of higher-order moments
- Arch model with Box-Cox transformed dependent variable
- Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
- Forecasting exchange rate volatility.
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- Diagnostic check for heavy tail in linear time series
- When panic makes you blind: a chaotic route to systemic risk
- Liquidity tail risk and credit default swap spreads
- Analytic Hessian matrices and the computation of FIGARCH estimates
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Near-integrated GARCH sequences
- Testing for ARCH in the presence of a possibly misspecified conditional mean
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Asymptotic nonequivalence of GARCH models and diffusions
- An algorithm for nonparametric GARCH modelling.
- Stationarity of stable power-GARCH processes.
- Statistical inference for time-inhomogeneous volatility models.
- Stable GARCH models for financial time series
- Modeling and pricing long memory in stock market volatility
- Modeling volatility persistence of speculative returns: a new approach
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- Higher-order asymptotic properties of QML in -ARCH and -ARCH models
- The ARMA alphabet soup: a tour of ARMA model variants
- Robust omega ratio optimization using regular vines
- A financial fraud detection indicator for investors: an \textit{IDeA}
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Filtering for risk assessment of interbank network
- On the relation between GARCH and stable processes
- Sequential monitoring for changes from stationarity to mild non-stationarity
- A data-dependent approach to modeling volatility in financial time series
- Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem
- The uncertainties about the relationships risk-return-volatility in the Spanish stock market
- Temporal aggregation of volatility models
- Quasi-maximum likelihood estimation for multiple volatility shifts
- Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
- Non-parametric regression methods
- A conditional-SGT-VaR approach with alternative GARCH models
- Fractionally integrated time varying GARCH model
- ARCH models as diffusion approximations
- Neglecting parameter changes in GARCH models
- A novel time-varying FIGARCH model for improving volatility predictions
- Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes
- Flexible Fourier form for volatility breaks
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates
- The story of GARCH: a personal odyssey
- A comparison of several time-series models for assessing the value at risk of shares
- Characterizing heteroskedasticity
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Estimation and tests for power-transformed and threshold GARCH models
- Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models
- Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
- Estimation of a semiparametric IGARCH(1,1) model
- Granger causality in risk and detection of extreme risk spillover between financial markets
- The benefits of bagging for forecast models of realized volatility
- Assessing the value of Hermite densities for predictive distributions
- On stationarity and ergodicity of the bilinear model with applications to GARCH models
- Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
- On the Transmission of Memory in Garch‐in‐Mean Models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Dynamic portfolio management under competing representations
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Testing for efficiency and non-linearity in market and natural time series
- Semiparametric diffusion estimation and application to a stock market index
- Volatility conditional on price trends
- Imposing stationarity constraints on the parameters of ARCH and GARCH models
- Nonlinearity tests in time series analysis
- An Alternative Methodology for Combining Different Forecasting Models
- An empirical re-examination of the dividend–investment relation
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Time reversal invariance in finance
- An Introduction to Univariate GARCH Models
- Index-option pricing with stochastic volatility and the value of accurate variance forecasts
- A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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