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Citations for "Qualitative threshold arch models"

by Gourieroux Christian & Monfort Alain

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  1. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
  2. 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., vol. 16(4), pages 461-486.
  3. Juan Manuel Julio & Norberto Rodríguez & Hector Zárate, . "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," Borradores de Economia 347, Banco de la Republica de Colombia.
  4. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
  5. 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, vol. 22, pages 27, Abril.
  6. Drost, F.C. & Klaassen, C.A.J., 1997. "Efficient estimation in semiparametric GARCH models," Other publications TiSEM c7de3f1c-c456-433e-a1c6-2, Tilburg University, School of Economics and Management.
  7. HARDLE, Wolfgang & HAFNER, Christian M., . "Discrete time option pricing with flexible volatility estimation," CORE Discussion Papers RP 1439, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Ng, Serena, 1996. "Looking for evidence of speculative stockholding in commodity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 123-143.
  9. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  10. Shields, Kalvinder K, 1997. "Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 107-25.
  11. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
  12. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 335-355.
  13. O. Linton & E. Mammen, 2005. "Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods," Econometrica, Econometric Society, vol. 73(3), pages 771-836, 05.
  14. Hardle, W. & Tsybakov, A., 1997. "Local polynomial estimators of the volatility function in nonparametric autoregression," Journal of Econometrics, Elsevier, vol. 81(1), pages 223-242, November.
  15. 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.
  16. 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, vol. 24(2), pages 169-178, April.
  17. 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, vol. 10(4), pages 255-276.
  18. 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.
  19. Giulio Cifarelli, 2001. "Introduction," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 286-288.
  20. Francesco Audrino & Peter Bühlmann, 2009. "Splines for financial volatility," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 655-670.
  21. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
  22. 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 1749-78, December.
  23. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
  24. Don U.A. Galagedera & Roland G. Shami, 2004. "Beta Risk and Regime Shift in Market Volatility," Econometric Society 2004 Australasian Meetings 126, Econometric Society.
  25. Véronique Delouille & Rainer Sachs, 2005. "Estimation of nonlinear autoregressive models using design-adapted wavelets," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(2), pages 235-253, June.
  26. Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.
  27. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris.
  28. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, EconWPA.
  29. L. YANG & Wolfgang HÄRDLE, 1996. "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," SFB 373 Discussion Papers 1996,62, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  30. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
  31. Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  32. Comte, F. & Rozenholc, Y., 2002. "Adaptive estimation of mean and volatility functions in (auto-)regressive models," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 111-145, January.
  33. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Centre de Recherche en Economie et Statistique.
  34. Longin, Francois M, 1997. "The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 837-69.
  35. 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, vol. 19(1), pages 1-32, February.
  36. 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.
  37. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
  38. Carroll, Raymond J. & Härdle, Wolfgang & Mammen, Enno, 1999. "Estimation in an additive model when the components are linked parametrically," SFB 373 Discussion Papers 1999,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  39. 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 34, Center for Policy Research, Maxwell School, Syracuse University.
  40. Christopher F. Baum & Basma Bekdache, 1995. "Modeling Returns on the Term Structure of Treasury Interest Rates," Boston College Working Papers in Economics 288., Boston College Department of Economics.
  41. Filippo Altissimo & Giovanni Luca VIolante, 1998. "Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment," Temi di discussione (Economic working papers) 338, Bank of Italy, Economic Research and International Relations Area.
  42. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  43. Franke, Jürgen & Kreiss, Jens-Peter & Mammen, Enno, 1997. "Bootstrap of kernel smoothing in nonlinear time series," SFB 373 Discussion Papers 1997,20, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  44. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
  45. 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 191, School of Economics and Finance, Queensland University of Technology.
  46. repec:bbz:fcpbbr:v:9:y:2012:i:4:p:1-26 is not listed on IDEAS
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