On a threshold heteroscedastic model
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 22 (2006)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ijforecast
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
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- Richard H. Gerlach & Cathy W.S. Chen & Liou-Yan Lin, 2012. "Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets," Working Papers 01/2012, University of Sydney Business School, Discipline of Business Analytics, revised Jan 2012.
- Chen, Cathy W.S. & Chan, Jennifer S.K. & So, Mike K.P. & Lee, Kevin K.M., 2011. "Classification in segmented regression problems," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2276-2287, July.
- Gerlach, Richard & Tuyl, Frank, 2006. "MCMC methods for comparing stochastic volatility and GARCH models," International Journal of Forecasting, Elsevier, vol. 22(1), pages 91-107.
- Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2990-3010, February.
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