Volatility asymmetry in functional threshold GARCH model
DOI10.1111/JTSA.12495zbMATH Open1444.62109OpenAlexW2964081995WikidataQ127487210 ScholiaQ127487210MaRDI QIDQ5111779FDOQ5111779
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Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12495
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Functional data analysis (62R10)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Inference for functional data with applications
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A functional version of the ARCH model
- Functional Generalized Autoregressive Conditional Heteroskedasticity
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Stationarity of GARCH processes and of some nonnegative time series
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- A data-dependent approach to modeling volatility in financial time series
- Threshold heteroskedastic models
- Title not available (Why is that?)
- An Exponential Continuous-Time GARCH Process
Cited In (4)
- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
- A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
- Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
- Asymmetric volatility impulse response functions
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