On the threshold hyperbolic GARCH models

DOI10.4310/SII.2011.V4.N2.A11MaRDI QIDQ647173zbMATH OpenFDO

Authors Wai Keung Li, Guodong Li, Wilson C. Kwan

Publication date 1 December 2011

Published in Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

long memoryvolatilitythreshold modelhyperbolic GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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Cited in

(9)

• Tail behavior of a threshold autoregressive stochastic volatility model
• Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models
• Markov switch smooth transition HYGARCH model: stability and estimation
• A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
• Non-negativity conditions for the hyperbolic GARCH model
• A new hyperbolic GARCH model
• Detecting volatility persistence in GARCH models in the presence of the leverage effect
• Optimal dynamic hedging via copula-threshold-GARCH models
• ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS

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