Advanced Search
MyIDEAS: Login

Citations for "Qualitative threshold arch models"

by Gourieroux Christian & Monfort Alain

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Paulo Rogerio Faustino Matos & Fabrício Carneiro Linhares & Gustavo Zech Sylvestre, 2012. "Analysis of the non-linear effect of net equity in the pricing of stock investment funds," Brazilian Business Review, Fucape Business School, Fucape Business School, vol. 9(4), pages 1-26, October.
  2. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance, EconWPA 0512030, EconWPA.
  3. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril.
  4. Filippo Altissimo & Giovanni L. Violante, 2001. "The non-linear dynamics of output and unemployment in the U.S," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(4), pages 461-486.
  5. Comte, F. & Rozenholc, Y., 2002. "Adaptive estimation of mean and volatility functions in (auto-)regressive models," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 97(1), pages 111-145, January.
  6. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance, EconWPA 0406010, EconWPA.
  7. Mak, T. K. & Wong, H. & Li, W. K., 1997. "Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 24(2), pages 169-178, April.
  8. L. YANG & Wolfgang HÄRDLE, 1996. "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1996,62, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper, Tilburg University, Center for Economic Research 1996-38, Tilburg University, Center for Economic Research.
  10. Jürgen Franke & Jean-Pierre Stockis & Joseph Tadjuidje, 2007. "Quantile Sieve Estimates For Time Series," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2007-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  11. Longin, Francois M, 1997. "The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 10(3), pages 837-69.
  12. Hardle, W. & Tsybakov, A., 1997. "Local polynomial estimators of the volatility function in nonparametric autoregression," Journal of Econometrics, Elsevier, Elsevier, vol. 81(1), pages 223-242, November.
  13. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(4), pages 335-355.
  14. Christian M. Hafner & Wolfgang HÄrdle, 2000. "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, Springer, vol. 4(2), pages 189-207.
  15. Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9514, Universite de Montreal, Departement de sciences economiques.
  16. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, Elsevier, vol. 166(2), pages 224-236.
  17. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers, School of Economics and Management, University of Aarhus 2008-49, School of Economics and Management, University of Aarhus.
  18. Juan Manuel Julio & Norberto Rodríguez & Héctor Manuel Zárate, 2005. "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 002605, BANCO DE LA REPÚBLICA.
  19. Kalvinder Shields, 1997. "Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, Springer, vol. 30(2), pages 107-125, May.
  20. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers, CIRANO 2001s-42, CIRANO.
  21. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp69, International Center for Financial Asset Management and Engineering.
  22. Roland Shami & Don U.A. Galagedera, 2004. "Beta Risk and Regime Shift in Market Volatility," Finance, EconWPA 0406012, EconWPA.
  23. Kane, Alex & Lehmann, Bruce N. & Trippi, Robert R., 2000. "Regularities in volatility and the price of risk following large stock market movements in the US and Japan," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(1), pages 1-32, February.
  24. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  25. Christopher F. Baum & Basma Bekdache, 1995. "Modeling Returns on the Term Structure of Treasury Interest Rates," Boston College Working Papers in Economics, Boston College Department of Economics 288., Boston College Department of Economics.
  26. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche, HEC Paris 723, HEC Paris.
  27. Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2003/453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  28. Franke, Jürgen & Kreiss, Jens-Peter & Mammen, Enno, 1997. "Bootstrap of kernel smoothing in nonlinear time series," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,20, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  29. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers, Centre de Recherche en Economie et Statistique 2013-51, Centre de Recherche en Economie et Statistique.
  30. Giulio Cifarelli, 2001. "Introduction," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(4), pages 286-288.
  31. Adam Clements & Scott White, 2005. "Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 191, School of Economics and Finance, Queensland University of Technology.
  32. Carroll, Raymond J. & Härdle, Wolfgang & Mammen, Enno, 1999. "Estimation in an additive model when the components are linked parametrically," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  33. Filippo Altissimo & Giovanni Luca VIolante, 1998. "Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 338, Bank of Italy, Economic Research and International Relations Area.
  34. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 99(1), pages 139-171, November.
  35. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 34, Center for Policy Research, Maxwell School, Syracuse University.
  36. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(5), pages 827-853, August.
  37. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
  38. Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen 2007-11, Department of Economics, University of St. Gallen.
  39. Patricia Fraser & Foort Hamelink & Martin Hoesli & Bryan Macgregor, 2004. "Time-varying betas and the cross-sectional return-risk relation: evidence from the UK," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(4), pages 255-276.
  40. 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, Elsevier, vol. 52(1-2), pages 5-59.
  41. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(1), pages 15-102, May.
  42. Véronique Delouille & Rainer Sachs, 2005. "Estimation of nonlinear autoregressive models using design-adapted wavelets," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 57(2), pages 235-253, June.