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Threshold Arch Models and Asymmetries in Volatility

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Cited by:

  1. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April.
  2. Antoine Lejay & Paolo Pigato, 2017. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Working Papers hal-01669082, HAL.
  3. Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel, 2015. "Asymptotic inference in multiple-threshold double autoregressive models," Journal of Econometrics, Elsevier, vol. 189(2), pages 415-427.
  4. Massimiliano Caporin & Michael McAleer, 2011. "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
  5. Bianconi, Marcelo & Yoshino, Joe A., 2014. "Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector," Energy Economics, Elsevier, vol. 45(C), pages 19-32.
  6. Ziel, Florian, 2016. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 773-793.
  7. Wang, Guochang & Zhu, Ke & Li, Guodong & Li, Wai Keung, 2022. "Hybrid quantile estimation for asymmetric power GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 264-284.
  8. Hua, Zhongsheng & Zhang, Bin, 2008. "Improving density forecast by modeling asymmetric features: An application to S&P500 returns," European Journal of Operational Research, Elsevier, vol. 185(2), pages 716-725, March.
  9. Dilip Nachane & Jose Clavel, 2008. "Forecasting interest rates: a comparative assessment of some second-generation nonlinear models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(5), pages 493-514.
  10. Mika Meitz & Pentti Saikkonen, 2008. "Stability of nonlinear AR‐GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 453-475, May.
  11. Karanasos, Menelaos & Xu, Yongdeng & Yfanti, Stavroula, 2017. "Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Practicality of Matrix Inequalities," Cardiff Economics Working Papers E2017/14, Cardiff University, Cardiff Business School, Economics Section.
  12. Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers 037, COMISEF.
  13. Gerald Shively & Ganesh Thapa, 2017. "Markets, Transportation Infrastructure, and Food Prices in Nepal," American Journal of Agricultural Economics, John Wiley & Sons, vol. 99(3), pages 660-682, April.
  14. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2676-2692, November.
  15. Sabiruzzaman, Md. & Monimul Huq, Md. & Beg, Rabiul Alam & Anwar, Sajid, 2010. "Modeling and forecasting trading volume index: GARCH versus TGARCH approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 141-145, May.
  16. Vanderlei Kleinschmidt & Roberto Meurer, 2008. "Interdependence in conditional variances between Latin American stock markets," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211543080, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  17. Lawal A. I. & Oloye M. I. & Otekunrin A. O. & Ajayi S. A., 2013. "Returns on Investments and Volatility Rate in the Nigerian Banking Industry," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(10), pages 1298-1313, October.
  18. Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.
  19. Onour , Ibrahim A., 2021. "Modeling and assessing systematic risk in stock markets in major oil exporting countries," Economic Consultant, Roman I. Ostapenko, vol. 35(3), pages 18-29.
  20. Xuanling Yang & Dong Li, 2022. "Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 938-963, November.
  21. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
  22. Döpke, Jörg & Pierdzioch, Christian, 1998. "Brokers and business cycles: Does financial market volatility cause real fluctuations?," Kiel Working Papers 899, Kiel Institute for the World Economy (IfW Kiel).
  23. Murto, Risto, 1994. "Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992," Research Discussion Papers 13/1994, Bank of Finland.
  24. Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
  25. CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki & 渡部, 渡部, 2015. "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series HIAS-E-16, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  26. Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2014. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 134-146.
  27. Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, vol. 11(1), pages 27-47, January.
  28. Florian Ziel & Rick Steinert & Sven Husmann, 2014. "Efficient Modeling and Forecasting of the Electricity Spot Price," Papers 1402.7027, arXiv.org, revised Oct 2014.
  29. Angelos Kanas, 2013. "The risk-return relation and VIX: evidence from the S&P 500," Empirical Economics, Springer, vol. 44(3), pages 1291-1314, June.
  30. Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
  31. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  32. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
  33. Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011. "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy (IfW Kiel).
  34. Jürgen Franke & Jean-Pierre Stockis & Joseph Tadjuidje, 2007. "Quantile Sieve Estimates For Time Series," SFB 649 Discussion Papers SFB649DP2007-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  35. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  36. Fukuda, Shin-ichi, 2012. "Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3185-3196.
  37. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 499-512, October.
  38. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
  39. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
  40. Athanassiou, Emmanuel & Kollias, Christos & Syriopoulos, Theodore, 2006. "Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 411-424, December.
  41. Kryukovskaya Olga, "undated". "Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998," EERC Working Paper Series 03-07e, EERC Research Network, Russia and CIS.
  42. Florian Ziel, 2015. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes," Papers 1502.06557, arXiv.org, revised Dec 2015.
  43. Lai, YiHao & Chen, Cathy W.S. & Gerlach, Richard, 2009. "Optimal dynamic hedging via copula-threshold-GARCH models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2609-2624.
  44. Neaime, Simon, 2012. "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, vol. 13(3), pages 268-282.
  45. Weiß, Gregor N.F. & Mühlnickel, Janina, 2014. "Why do some insurers become systemically relevant?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 95-117.
  46. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, September.
  47. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415.
  48. Cheng, Xixin & Li, W.K. & Yu, Philip L.H. & Zhou, Xuan & Wang, Chao & Lo, P.H., 2011. "Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis," Computational Statistics & Data Analysis, Elsevier, vol. 55(9), pages 2590-2604, September.
  49. Výrost, Tomáš & Baumöhl, Eduard, 2009. "Asymmetric GARCH and the financial crisis: a preliminary study," MPRA Paper 27909, University Library of Munich, Germany.
  50. Hwang, S. Y. & Basawa, I. V., 2004. "Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 209-220, July.
  51. Gonçalves, Esmeralda & Leite, Joana & Mendes-Lopes, Nazaré, 2009. "A mathematical approach to detect the Taylor property in TARCH processes," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 602-610, March.
  52. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  53. Francq, Christian & Zakoian, Jean-Michel, 2013. "Inference in non stationary asymmetric garch models," MPRA Paper 44901, University Library of Munich, Germany.
  54. Tamal Datta Chaudhuri & Indranil Ghosh, 2016. "Artificial Neural Network and Time Series Modeling Based Approach to Forecasting the Exchange Rate in a Multivariate Framework," Papers 1607.02093, arXiv.org.
  55. Christian M. Hafner & Wolfgang HÄrdle, 2000. "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, vol. 4(2), pages 189-207.
  56. PERRON, Benoît, 1999. "Jumps in the Volatility of Financial Markets," Cahiers de recherche 9912, Universite de Montreal, Departement de sciences economiques.
  57. Bardet, Jean-Marc & Kengne, William, 2014. "Monitoring procedure for parameter change in causal time series," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 204-221.
  58. Margherita Velucchi, 2009. "Regime switching: Italian financial markets over a century," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 67-86, March.
  59. Bostandzic, Denefa & Weiß, Gregor N.F., 2018. "Why do some banks contribute more to global systemic risk?," Journal of Financial Intermediation, Elsevier, vol. 35(PA), pages 17-40.
  60. Mendes, Beatriz Vaz de Melo & Júnior, Antonio Marcos Duarte, 1999. "Robust Estimation for ARCH Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 19(1), May.
  61. Sabrina Khanniche, 2009. "Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models," EconomiX Working Papers 2009-46, University of Paris Nanterre, EconomiX.
  62. Bertrand Maillet & Madalina Olteanu & Joseph Rynkiewicz, 2004. "Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)," Revue d'économie politique, Dalloz, vol. 114(4), pages 489-506.
  63. R. Khalfaoui & M. Boutahar, 2012. "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers halshs-00793068, HAL.
  64. Min-Hsien Chiang & Cheng-Yu Wang, 2002. "The impact of futures trading on spot index volatility: evidence for Taiwan index futures," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 381-385.
  65. Kulp-Tåg, Sofie, 2007. "Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets," Working Papers 524, Hanken School of Economics.
  66. Dong Li & Shiqing Ling & Rongmao Zhang, 2016. "On a Threshold Double Autoregressive Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 68-80, January.
  67. Trapp, Rouven & Weiß, Gregor N.F., 2016. "Derivatives usage, securitization, and the crash sensitivity of bank stocks," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 183-205.
  68. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
  69. Kirt C. Butler & Katsushi Okada, 2008. "Higher-Order Terms in Bivariate Returns to International Stock Market Indices," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 127-155, March-Jun.
  70. Boubacar Maïnassara, Y. & Kadmiri, O. & Saussereau, B., 2022. "Estimation of multivariate asymmetric power GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
  71. Francesco Audrino & Fabio Trojani, 2006. "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 345-369, April.
  72. Arjun Chatrath & Bahram Adrangi & Todd Shank, 2001. "Nonlinear Dependence in Gold and Silver Futures: Is it Chaos?," The American Economist, Sage Publications, vol. 45(2), pages 25-32, October.
  73. Di Xiao & Jun Wang & Hongli Niu, 2016. "Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 607-625, December.
  74. Hashimoto, Yuko, 2005. "The impact of the Japanese banking crisis on the intraday FX market in late 1997," Journal of Asian Economics, Elsevier, vol. 16(2), pages 205-222, April.
  75. Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 706-742, September.
  76. Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
  77. Philippe Charlot & Vêlayoudom Marimoutou, 2008. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model," Working Papers halshs-00285866, HAL.
  78. Dr. Ibrahim Onour, "undated". "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," API-Working Paper Series 1009, Arab Planning Institute - Kuwait, Information Center.
  79. Tzu-Yi Yang & Yu-Tai Yang, 2015. "A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 361-383, June.
  80. Chen, Cathy W.S. & Yang, Ming Jing & Gerlach, Richard & Jim Lo, H., 2006. "The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 401-418.
  81. David McMillan & Alan Speight, 2003. "Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures," Applied Financial Economics, Taylor & Francis Journals, vol. 13(8), pages 599-607.
  82. Ambach, Daniel & Croonenbroeck, Carsten, 2014. "Obtaining superior wind power predictions from a periodic and heteroscedastic Wind Power Prediction Tool," Discussion Papers 361, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  83. Migueis, Marco & Jiron, Alexander, 2021. "SRISKv2 – A note," Economics Letters, Elsevier, vol. 201(C).
    • Alexander Jiron & Marco Migueis, 2020. "SRISKv2 - A Note," FEDS Notes 2020-09-18-2, Board of Governors of the Federal Reserve System (U.S.).
  84. Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk, 2017. "Systemic risk and cross-sectional hedge fund returns," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 109-130.
  85. Christian Brownlees & Robert F. Engle, 2017. "SRISK: A Conditional Capital Shortfall Measure of Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 48-79.
  86. Xiafei Li & Chris Brooks & Joëlle Miffre, 2009. "The Value Premium and Time‐Varying Volatility," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1252-1272, November.
  87. Richard DeFusco & Stoyu Ivanov & Gordon Karels, 2011. "The exchange traded funds’ pricing deviation: analysis and forecasts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 181-197, April.
  88. Herman J. Bierens & Li Wang, 2017. "Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 103-135, March.
  89. Chih-Chiang Wu, 2011. "Measuring mutual fund asymmetric performance in changing market conditions: evidence from a Bayesian threshold model," Applied Financial Economics, Taylor & Francis Journals, vol. 21(16), pages 1185-1204.
  90. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
  91. Galyna Grynkiv & Lars Stentoft, 2018. "Stationary Threshold Vector Autoregressive Models," JRFM, MDPI, vol. 11(3), pages 1-23, August.
  92. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
  93. Chatrath, Arjun & Adrangi, Bahram & Dhanda, Kanwalroop Kathy, 2002. "Are commodity prices chaotic?," Agricultural Economics, Blackwell, vol. 27(2), pages 123-137, August.
  94. Duan, Jin-Chuan, 1997. "Augmented GARCH (p,q) process and its diffusion limit," Journal of Econometrics, Elsevier, vol. 79(1), pages 97-127, July.
  95. Haniff, Mohd Nizal & Pok, Wee Ching, 2010. "Intraday volatility and periodicity in the Malaysian stock returns," Research in International Business and Finance, Elsevier, vol. 24(3), pages 329-343, September.
  96. Hsin, Chin-Wen & Guo, Wen-Chung & Tseng, Seng-Su & Luo, Wen-Chih, 2003. "The impact of speculative trading on stock return volatility: the evidence from Taiwan," Global Finance Journal, Elsevier, vol. 14(3), pages 243-270, December.
  97. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  98. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
  99. Park, J.A. & Baek, J.S. & Hwang, S.Y., 2009. "Persistent-threshold-GARCH processes: Model and application," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 907-914, April.
  100. Yacouba Boubacar Maïnassara & Othman Kadmiri & Bruno Saussereau, 2022. "Portmanteau test for a class of multivariate asymmetric power GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 964-1002, November.
  101. Kanas, Angelos, 2012. "Modelling the risk–return relation for the S&P 100: The role of VIX," Economic Modelling, Elsevier, vol. 29(3), pages 795-809.
  102. Guochang Wang & Ke Zhu & Guodong Li & Wai Keung Li, 2019. "Hybrid quantile estimation for asymmetric power GARCH models," Papers 1911.09343, arXiv.org.
  103. Lee, O. & Shin, D. W., 2004. "Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility," Economics Letters, Elsevier, vol. 84(2), pages 167-173, August.
  104. Li, Xiafei & Miffre, Joëlle & Brooks, Chris & O'Sullivan, Niall, 2008. "Momentum profits and time-varying unsystematic risk," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 541-558, April.
  105. Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
  106. Arturo Lorenzo-Valdés & Antonio Ruiz-Porras, 2012. "Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 87-113, November.
  107. Ke Zhu & Wai Keung Li & Philip L. H. Yu, 2017. "Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 528-542, October.
  108. Wu, Guojun & Xiao, Zhijie, 2002. "A generalized partially linear model of asymmetric volatility," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 287-319, August.
  109. Charles, Amélie & Darné, Olivier, 2019. "Volatility estimation for Bitcoin: Replication and robustness," International Economics, Elsevier, vol. 157(C), pages 23-32.
  110. Antoine Lejay & Paolo Pigato, 2019. "A Threshold Model For Local Volatility: Evidence Of Leverage And Mean Reversion Effects On Historical Data," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-24, June.
  111. Yacouba Boubacar Maïnassara & Othman Kadmiri & Bruno Saussereau, 2022. "Portmanteau test for the asymmetric power GARCH model when the power is unknown," Statistical Papers, Springer, vol. 63(3), pages 755-793, June.
  112. Piotr Fiszeder & Grzegorz Perczak, 2013. "A new look at variance estimation based on low, high and closing prices taking into account the drift," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 456-481, November.
  113. E. Gonçalves & P. Jacob & N. Lopes, 1996. "A new test for ARMA models with errors following a general white noise process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(1), pages 187-202, June.
  114. Bradley Ewing & William Levernier & Farooq Malik, 2005. "Modeling Unemployment Rates by Race and Gender: A Nonlinear Time Series Approach," Eastern Economic Journal, Eastern Economic Association, vol. 31(3), pages 333-347, Summer.
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  116. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Center for Research in Economics and Statistics.
  117. Xiafei Li & Chris Brooks & Joëlle Miffre, 2009. "The Value Premium and Time-Varying Volatility," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9-10), pages 1252-1272.
  118. Shuai Liu & Dingyu Liu & Sibo Ge, 2024. "Impact of external shocks on international corn price fluctuations," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 70(1), pages 1-11.
  119. 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.
  120. Ibrahim Onour, "undated". "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
  121. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
  122. Murto, Risto, 1994. "Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992," Bank of Finland Research Discussion Papers 13/1994, Bank of Finland.
  123. Härdle, Wolfgang & Sperlich, Stefan, 1997. "Financial calculations on the net," SFB 373 Discussion Papers 1997,42, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  124. Chris Brooks & Xiafei Li & Joelle Miffre, 2009. "Time Varying Volatility and the Cross-Section of Equity Returns Â," ICMA Centre Discussion Papers in Finance icma-dp2009-01, Henley Business School, University of Reading.
  125. Alex Huang, 2011. "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Springer;Society for Computational Economics, vol. 37(3), pages 301-330, March.
  126. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136.
  127. Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.
  128. Nessrine Hamzaoui & Boutheina Regaieg, 2016. "The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1608-1615.
  129. Apostolos Ampountolas, 2022. "Cryptocurrencies Intraday High-Frequency Volatility Spillover Effects Using Univariate and Multivariate GARCH Models," IJFS, MDPI, vol. 10(3), pages 1-22, July.
  130. Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.
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