Modelling volatility by variance decomposition
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Cites work
- An Introduction to Univariate GARCH Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Handbook of Volatility Models and Their Applications
- Maximization by Parts in Likelihood Inference
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Parameter estimation in nonlinear AR-GARCH models
- Quadratic ARCH Models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Semiparametric Estimator of Time Series Conditional Variance
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Statistical inference for time-varying ARCH processes
- Testing the constancy of regression parameters against continuous structural change
Cited in
(36)- Bayesian estimation of smoothly mixing time-varying parameter GARCH models
- Stock market volatility and public information flow: a non-linear perspective
- Choosing between persistent and stationary volatility
- Residual-augmented IVX predictive regression
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Chasing volatility. A persistent multiplicative error model with jumps
- Statistical decomposition of volatility
- Testing constancy of unconditional variance in volatility models by misspecification and specification tests
- Time-varying asymmetry and tail thickness in long series of daily financial returns
- Modeling time-variation over the business cycle (1960--2017): an international perspective
- Modeling financial return dynamics via decomposition
- Modeling Variance Risk Premium
- A simple iterative Z-estimator for semiparametric models
- A multiplicative model for volume and volatility
- Variance reduction approach for the volatility over a finite-time horizon
- Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model
- Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
- Two-step estimation for time varying ARCH models
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Specification and testing of multiplicative time-varying GARCH models with applications
- A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
- Extended Glivenko–Cantelli theorem and L1 strong consistency of innovation density estimator for time-varying semiparametric ARCH model
- Hybrid model for stock market volatility
- ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
- Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
- Semiparametric GARCH via Bayesian Model Averaging
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
- General estimation results for \textsc{tdVARMA} array models
- Heterogeneous volatility information content for the realized GARCH modeling and forecasting volatility
- A test for time-varying smooth transition conditional covariance models in multivariate time series
- Modelling dynamic interdependence in nonstationary variances with an application to carbon markets
- Is U.S. real output growth non-normal? A tale of time-varying location and scale
- Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices
- GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate
- tvgarch
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