Threshold heteroskedastic models

Keywords

Heteroscedasticity, Econometrics, Volatility (finance), Mathematics, Economics

References

• The moment structure of ARCH processesAnders Milhøj — 1985
• The stochastic behavior of common stock variances: valueAndrew Christie — 1982
• Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflationRobert F. Engle — 1982
• CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACHDaniel B. Nelson — 1991
• Asymptotic Theory for ARCH Models: Estimation and TestingAndrew Weiss — 1986
• ARMA MODELS WITH ARCH ERRORSAndrew Weiss — 1984
• ON THE INVARIANCE OF THE LAGRANGE MULTIPLIER TEST WITH RESPECT TO CERTAIN CHANGES IN THE ALTERNATIVE HYPOTHESISL. G. Godfrey — 1981
• Estimating Time Varying Risk Premia in the Term Structure: The Arch-M ModelRobert F. Engle, David M. Lilien, Russell P. Robins — 1987
• Modelling Financial Time SeriesStephen J. Taylor — 1987
• On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksLawrence R. Glosten, Ravi Jagannathan, David E. Runkle — 1993
• Non-linear time series. A dynamical system approachHowell Tong — 1990
• Stationarity and Persistence in the GARCH(1,1) ModelDaniel B. Nelson — 1990
• Variance Function EstimationMarie Davidian, Raymond J. Carroll — 1987
• Handbook of Mathematical Functions.Juliette Florentin, Milton Abramowitz, Irene A. Stegun — 1966
• The behavior of maximum likelihood estimates under nonstandard conditionsPeter J. Huber — 1967
• Why Does Stock Market Volatility Change Over TimeG. William Schwert — 1988
• Handbook of Mathematical FunctionsDonald A. McQuarrie — 1966
• Variance Function EstimationMarie Davidian, Raymond J. Carroll — 1987
• Why Does Stock Market Volatility Change Over Time?G. William Schwert — 1989
• Generalized autoregressive conditional heteroskedasticityTim Bollerslev — 1986

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• Stochastic Volatility Models and Financial Risk Measures: Towards New JustificationsHung T. Nguyen, Владик Крейнович, Songsak Sriboonchitta — 2009
• Analysis of contagion from the dynamic conditional correlation model with Markov Regime switchingPedro Nielsen Rotta, Pedro L. Valls Pereira — 2016
• Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatilityIvo Jánský, Milan Rippel — 2011
• Performance Ratings of an Autocovariance Base Estimator (ABE) in the Estimation of GARCH Model Parameters When the Normality Assumption is InvalidDaniel Eni — 2009
• Modelling nonlinear economic time seriesTimo Teräsvirta, Dag Tjøstheim, Clive W. J. Granger — 2010
• The Impact of Monetary Policy Surprises on Australian Financial Futures MarketsXinsheng Lu, Ying Zhou, Mingting Kou — 2013
• Comparison of a Class of Nonlinear Time Series models (GARCH, IGARCH, EGARCH)S Y Kim — 2006
• Oil Products Price Dynamics - Mean Reversion and Structural Breaks: Application of ARMA-GARCH-Class ModelsXiaoye Jin — 2010
• Macroeconomic announcements, volatility and interrelationships : an examination of the UK bond and stock marketsBradley Jones, Mansur Masih, Chien‐Ting Lin — 2000
• Score driven asymmetric stochastic volatility modelsHelena Veiga, Esther Ruiz, Xiuping Mao — 2014
• Essays on Financial Return and Volatility ModelingJing Cynthia Wu — 2012
• Modelling Australian stock market volatilityKarunanayake Athukoralalage, Indika Priyadarshani — 2011
• Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH ModelsMelike Bildirici, Özgür Ömer Ersin — 2014
• Applications of Advanced Time Series Models to Analyze the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry PortfoliosSascha Mergner — 2008
• Investisseurs et Marchés Financiers : du comportement des agents à la formation de prix d'équilibreMamadou Abdoulaye Konté — 2010
• Essais sur la Value-at-Risk : mesures de risque intra-journalières et tests de validationSessi Tokpavi — 2008
• Indices boursiers internationaux et la crise des nouvelles technologies : approches switching et DCC-MVGARCHRyan Lemand — 2003
• Nonparametric methods in economics and finance : dependence, causality and predictionValentyn Panchenko — 2002

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