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Comparison of nonnested asymmetric heteroskedastic models

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  • Chen, Cathy W.S.
  • Gerlach, Richard
  • So, Mike K.P.

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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2006)
Issue (Month): 4 (December)
Pages: 2164-2178

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Handle: RePEc:eee:csdana:v:51:y:2006:i:4:p:2164-2178

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
  2. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
  3. Berg, Andreas & Meyer, Renate & Yu, Jun, 2004. "Deviance Information Criterion for Comparing Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 107-20, January.
  4. Smith, Michael & Kohn, Robert, 1996. "Nonparametric regression using Bayesian variable selection," Journal of Econometrics, Elsevier, vol. 75(2), pages 317-343, December.
  5. Cathy W. S. Chen & Mike K. P. So & Ming-Tien Chen, 2005. "A Bayesian threshold nonlinearity test for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(1), pages 61-75.
  6. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  7. Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 487-502.
  8. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  10. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
  11. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April.
  12. Gregory Koutmos, 1999. "Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 83-101.
  13. Vrontos, I D & Dellaportas, P & Politis, D N, 2000. "Full Bayesian Inference for GARCH and EGARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 187-98, April.
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Citations

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Cited by:
  1. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
  2. Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.
  3. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.
  4. Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
  5. David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.
  6. Cathy Chen & Feng-Chi Liu & Mike So, 2013. "Threshold variable selection of asymmetric stochastic volatility models," Computational Statistics, Springer, vol. 28(6), pages 2415-2447, December.
  7. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
  8. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.

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