Threshold network GARCH model

DOI10.1111/JTSA.12743MaRDI QIDQ6636846zbMATH OpenFDO

Authors Yue Pan, Jiazhu Pan

Publication date 12 November 2024

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12743

zbMATH Keywords

heteroscedasticityhigh-dimensional time seriesmulti-variate GARCHnetwork structurerandom fieldthreshold GARCH

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

Cites work

• An Introduction to Univariate GARCH Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Common Persistence in Conditional Variances
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Dynamic Network Quantile Regression Model
• Estimating factor models for multivariate volatilities: an innovation expansion method
• Estimation and Prediction for Stochastic Blockstructures
• Generalized autoregressive conditional heteroscedasticity
• Maximum likelihood estimation of a spatial autoregressive Tobit model
• Network vector autoregression
• On spatial processes and asymptotic inference under near-epoch dependence
• On testing for high-dimensional white noise
• Power-law distributions in empirical data
• Stationarity of GARCH processes and of some nonnegative time series
• Subadditive ergodic theory
• Threshold heteroskedastic models

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