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On a threshold heteroscedastic model

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

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File URL: http://www.sciencedirect.com/science/article/B6V92-4HP6G1H-1/2/7ce9908b574fb8e7c84a31f6bf5a0368
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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 22 (2006)
Issue (Month): 1 ()
Pages: 73-89

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Handle: RePEc:eee:intfor:v:22:y:2006:i:1:p:73-89

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

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References

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  1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  2. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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Citations

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Cited by:
  1. Richard Gerlach; & Cathy W.S. Chen; & Nancy Y. C. Chan, 2009. "Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets," Working Papers 01/2009, University of Sydney Business School, Discipline of Business Analytics, revised Aug 2009.
  2. 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.
  3. 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," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
  4. 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.
  5. 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.
  6. 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.
  7. 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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