Asymmetric GARCH processes featuring both threshold effect and bilinear structure
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Publication:419142
DOI10.1016/J.SPL.2011.11.023zbMATH Open1237.62113OpenAlexW1982654364MaRDI QIDQ419142FDOQ419142
J. A. Park, S. Y. Hwang, M. S. Choi
Publication date: 18 May 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.023
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Quadratic ARCH Models
- ARCH models and financial applications
- Estimation and tests for power-transformed and threshold GARCH models
- Properties of moments of a family of GARCH processes
- Stationarity and the existence of moments of a family of GARCH processes.
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- BL-GARCH models and asymmetries in volatility
- Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- Statistical models and methods for financial markets
- Title not available (Why is that?)
- BL-GARCH models with elliptical distributed innovations
Cited In (14)
- Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
- Quantum prediction GJR model and its applications
- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
- QMLE of periodic time-varying bilinear– GARCH models
- The copula directional dependence by stochastic volatility models
- On the existence of stationary threshold bilinear processes
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
- Markov-switching BILINEAR − GARCH models: Structure and estimation
- BL-GARCH models and asymmetries in volatility
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
- Spectral analysis for GARCH processes through a bilinear representation
- Non-ergodic martingale estimating functions and related asymptotics
- Model selection based on value-at-risk backtesting approach for GARCH-type models
- On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
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