Modelling Volatility by Variance Decomposition
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
- Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
References listed on IDEAS
- Christian T. Brownlees & Giampiero M. Gallo, 2010.
"Comparison of Volatility Measures: a Risk Management Perspective,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
- Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Song, Peter X.K. & Fan, Yanqin & Kalbfleisch, John D., 2005. "Maximization by Parts in Likelihood Inference," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1145-1158, December.
- Engle, Robert F & Ng, Victor K, 1993.
" Measuring and Testing the Impact of News on Volatility,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1749-1778, December.
- 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.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-234, April.
- Robert F. Engle & Jose Gonzalo Rangel, 2008. "The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1187-1222, May.
- Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996.
"Analytic Derivatives and the Computation of GARCH Estimates,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
- VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," CORE Discussion Papers 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mishra, Santosh & Su, Liangjun & Ullah, Aman, 2010. "Semiparametric Estimator of Time Series Conditional Variance," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 256-274.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
- Van Bellegem, Sebastien & von Sachs, Rainer, 2004. "Forecasting economic time series with unconditional time-varying variance," International Journal of Forecasting, Elsevier, vol. 20(4), pages 611-627.
- Hamilton, James D. & Susmel, Raul, 1994.
"Autoregressive conditional heteroskedasticity and changes in regime,"
Journal of Econometrics,
Elsevier, vol. 64(1-2), pages 307-333.
- Tom Doan, "undated". "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- Kim, Tae-Hwan & White, Halbert, 2004. "On more robust estimation of skewness and kurtosis," Finance Research Letters, Elsevier, vol. 1(1), pages 56-73, March.
- Baillie, Richard T. & Morana, Claudio, 2009.
"Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 33(8), pages 1577-1592, August.
- Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series 11-2007, ICER - International Centre for Economic Research.
- Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach," Working Papers 593, Queen Mary University of London, School of Economics and Finance.
- Richard T. Baillie & Claudio Morana, 2014. "Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach," Working Papers 593, Queen Mary University of London, School of Economics and Finance.
- Thomas Mikosch & Cătălin Stărică, 2004. "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 378-390, February.
- A. Ronald Gallant, 1984. "The Fourier Flexible Form," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(2), pages 204-208.
- Eitrheim, Oyvind & Terasvirta, Timo, 1996.
"Testing the adequacy of smooth transition autoregressive models,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 59-75, September.
- Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
- Enrique Sentana, 1995.
"Quadratic ARCH Models,"
Review of Economic Studies,
Oxford University Press, vol. 62(4), pages 639-661.
- Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
- Enrique Sentana, 1995. "Quadratic ARCH Models," Working Papers wp1995_9517, CEMFI.
- Jacek Osiewalski & Anna Pajor, 2009. "Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(2), pages 179-202, November.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Berkes, István & Gombay, Edit & Horváth, Lajos & Kokoszka, Piotr, 2004. "SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1140-1167, December.
- Cristina Amado & Timo Teräsvirta, 2014.
"Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 32(1), pages 69-87, January.
- Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," NIPE Working Papers 15/2011, NIPE - Universidade do Minho.
- Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," CREATES Research Papers 2011-24, Department of Economics and Business Economics, Aarhus University.
- 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.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Timo Terasvirta & Zhenfang Zhao, 2011.
"Stylized facts of return series, robust estimates and three popular models of volatility,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 21(1-2), pages 67-94.
- Teräsvirta, Timo & Zhao, Zhenfang, 2007. "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 662, Stockholm School of Economics, revised 01 Aug 2007.
- Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
- Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
More about this item
Keywords
Conditional heteroskedasticity; Structural change; Lagrange multiplier test; Misspeci?cation test; Nonlinear time series; Time-varying parameter model.;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aah:create:2011-01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.econ.au.dk/afn/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.