Modelling volatility by variance decomposition
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Publication:71677
DOI10.1016/J.JECONOM.2013.03.006zbMATH Open1283.62180OpenAlexW2124823571MaRDI QIDQ71677FDOQ71677
Authors: Cristina Amado, Timo Teräsvirta, Cristina Amado, Timo Teräsvirta 
Publication date: August 2013
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1822/11660
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conditional heteroskedasticityiterative algorithmmaximum likelihood estimationnonlinear time seriestime-varying parameter model
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
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- Handbook of Volatility Models and Their Applications
- Maximization by Parts in Likelihood Inference
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
Cited In (28)
- Two‐Step Estimation for Time Varying Arch Models
- ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
- Choosing between persistent and stationary volatility
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Residual-augmented IVX predictive regression
- GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Extended Glivenko–Cantelli theorem and L1 strong consistency of innovation density estimator for time-varying semiparametric ARCH model
- Variance reduction approach for the volatility over a finite-time horizon
- Stock market volatility and public information flow: a non-linear perspective
- Semiparametric GARCH via Bayesian Model Averaging
- Modeling financial return dynamics via decomposition
- Hybrid model for stock market volatility
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
- Modeling Variance Risk Premium
- Bayesian estimation of smoothly mixing time-varying parameter GARCH models
- tvgarch
- Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
- Specification and testing of multiplicative time-varying GARCH models with applications
- General estimation results for \textsc{tdVARMA} array models
- Time-varying asymmetry and tail thickness in long series of daily financial returns
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
- A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS
- Modeling time-variation over the business cycle (1960--2017): an international perspective
- Testing constancy of unconditional variance in volatility models by misspecification and specification tests
- Statistical decomposition of volatility
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