Quadratic ARCH Models
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Publication:4883973
DOI10.2307/2298081zbMATH Open0847.90035OpenAlexW2028598746MaRDI QIDQ4883973FDOQ4883973
Authors: Enrique Sentana 
Publication date: 13 October 1996
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2298081
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Cited In (86)
- Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
- Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
- An ARCH in the nonlinear mean (ARCH-NM) model
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- Nonparametric tests for market timing ability using daily mutual fund returns
- Flexible conditional density estimation for time series
- Quadratic random coefficient autoregression with linear-in-parameters volatility
- Nearly nonstationary processes under infinite variance GARCH noises
- Volatility is (mostly) path-dependent
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
- Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange
- An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models
- Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility
- Tail-risk protection trading strategies
- Model selection based on value-at-risk backtesting approach for GARCH-type models
- Quadratic Hawkes processes for financial prices
- Outliers and misleading leverage effect in asymmetric GARCH-type models
- Robust inference in AR-G/GARCH models under model uncertainty
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
- The uncertainties about the relationships risk-return-volatility in the Spanish stock market
- Qualitative threshold ARCH models
- Statistical inference for time-inhomogeneous volatility models.
- A model for level induced conditional heteroskedasticity
- A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
- ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
- On testing for multivariate ARCH effects in vector time series models
- Asymmetric multivariate normal mixture GARCH
- Stationarity of a family of GARCH processes
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure
- Conditional correlation in asset return and GARCH intensity model
- On Chinese stock markets: how have they evolved over time?
- A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares
- Contemporaneous asymmetry in GARCH processes
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- A Model Specification Test For GARCH(1,1) Processes
- Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises
- Modeling fat tails in stock returns: a multivariate stable-GARCH approach
- Properties of moments of a family of GARCH processes
- Evaluating GARCH models.
- Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
- Sequential estimation of shape parameters in multivariate dynamic models
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
- RCA model with quadratic GARCH innovation distribution
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Accurate value-at-risk forecasting based on the normal-GARCH model
- Evaluating volatility forecasts in option pricing in the context of a simulated options market
- Unobserved component models with asymmetric conditional variances
- A test for volatility spillover with application to exchange rates
- A nonlinear model for long-memory conditional heteroscedasticity
- QMLE for Quadratic ARCH Model with Long Memory
- The fine structure of volatility feedback. II: Overnight and intra-day effects
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
- Stationarity and the existence of moments of a family of GARCH processes.
- Testing the stable Paretian assumption
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- Robust score and portmanteau tests of volatility spillover
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models
- Goodness of fit assessment for a fractal model of stock markets
- Detecting volatility persistence in GARCH models in the presence of the leverage effect
- A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
- A structured variational learning approach for switching latent factor models
- Modelling volatility by variance decomposition
- Temporal aggregation of volatility models
- A conditional-SGT-VaR approach with alternative GARCH models
- Estimation and properties of a time-varying GQARCH(1,1)-M model
- Likelihood inference in BL-GARCH models
- ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- A new volatility model: GQARCH‐ItÔ model
- Partially adaptive econometric methods for regression and classification
- Dynamic portfolio management under competing representations
- Forecasting volatility with support vector machine-based GARCH model
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- Limit Theory for the QMLE of the GQARCH (1,1) Model
- Estimation of multiple period expected shortfall and median shortfall for risk management
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- An introduction to hypergeometric functions for economists
- Testing for GARCH effects: A one-sided approach
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