Stock market dynamics in a regime-switching asymmetric power GARCH model
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- Melike Bildirici & Özgür Ömer Ersin, 2014. "Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 108-135, October.
- Brooks, Robert, 2007. "Power arch modelling of the volatility of emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(2), pages 124-133, May.
- Gerrit Reher & Bernd Wilfling, 2016. "A nesting framework for Markov-switching GARCH modelling with an application to the German stock market," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 411-426, March.
- Manrui Jiang & Lifen Jia & Zhensong Chen & Wei Chen, 2022. "The two-stage machine learning ensemble models for stock price prediction by combining mode decomposition, extreme learning machine and improved harmony search algorithm," Annals of Operations Research, Springer, vol. 309(2), pages 553-585, February.
- Maciej Augustyniak & Mathieu Boudreault & Manuel Morales, 2018. "Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 165-188, March.
- Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
- Sajjad Rasoul & Coakley Jerry & Nankervis John C, 2008. "Markov-Switching GARCH Modelling of Value-at-Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-31, September.
- Chunxia, Yang & Xueshuai, Zhu & Luoluo, Jiang & Sen, Hu & He, Li, 2016. "Study on the contagion among American industries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 601-612.
- Hotta, Luiz Koodi & Trucíos Maza, Carlos César & Pereira, Pedro L. Valls & Zevallos Herencia, Mauricio Henrique, 2024. "Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?," Textos para discussão 567, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
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