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Qualitative threshold arch models

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Cited by:

  1. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
  2. Klein, Tony & Walther, Thomas, 2017. "Fast fractional differencing in modeling long memory of conditional variance for high-frequency data," Finance Research Letters, Elsevier, vol. 22(C), pages 274-279.
  3. Helmut Herwartz & Helmut Lütkepohl, 2000. "Multivariate volatility analysis of VW stock prices," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 9(1), pages 35-54, March.
  4. O. Linton & E. Mammen, 2005. "Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods," Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
  5. 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.
  6. Liu, Xialu & Chen, Rong, 2020. "Threshold factor models for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 53-70.
  7. Koulakiotis, Athanasios & Kartalis, Nikos & Lyroudi, Katerina & Papasyriopoulos, Nicholas, 2012. "Asymmetric and threshold effects on comovements among Germanic cross-listed equities," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 327-342.
  8. 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.
  9. Lijian Yang & Wolfgang Hardle & Jens Nielsen, 1999. "Nonparametric Autoregression with Multiplicative Volatility and Additive mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 579-604, September.
  10. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
  11. 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.
  12. 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.
  13. 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.
  14. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, University Library of Munich, Germany.
  15. Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
  16. Juan Manuel Julio & Norberto Rodr�guez & H�ctor Manuel Z�rate, 2005. "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," Borradores de Economia 2605, Banco de la Republica.
  17. Michael Rockinger & Eric Jondeau, 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working Papers hal-00601478, HAL.
  18. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
  19. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
  20. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  21. Wilson Ye Chen & Richard H. Gerlach, 2017. "Semiparametric GARCH via Bayesian model averaging," Papers 1708.07587, arXiv.org.
  22. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
  23. 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 Economia Aplicada, Estudios de Economia Aplicada, vol. 22, pages 1-27, Abril.
  24. Joseph Ngatchou-Wandji & Marwa Ltaifa & Didier Alain Njamen Njomen & Jia Shen, 2022. "Nonparametric Estimation of the Density Function of the Distribution of the Noise in CHARN Models," Mathematics, MDPI, vol. 10(4), pages 1-20, February.
  25. Shields, Kalvinder K, 1997. "Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 107-125.
  26. Chronopoulos, Ilias & Kapetanios, George & Petrova, Katerina, 2021. "Kernel-based Volatility Generalised Least Squares," Econometrics and Statistics, Elsevier, vol. 20(C), pages 2-11.
  27. 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.
  28. Roland Shami & Don U.A. Galagedera, 2004. "Beta Risk and Regime Shift in Market Volatility," Finance 0406012, University Library of Munich, Germany.
  29. 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, June.
  30. 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.
  31. Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Feb 2017.
  32. 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.
  33. Fabienne Comte, 2004. "Kernel deconvolution of stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 563-582, July.
  34. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  35. 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.
  36. 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.
  37. 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.
  38. Christian M. Hafner & Wolfgang HÄrdle, 2000. "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, vol. 4(2), pages 189-207.
  39. Franke, Jürgen & Stockis, Jean-Pierre & Tadjuidje, Joseph, 2007. "Quantile sieve estimates for time series," SFB 649 Discussion Papers 2007-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  40. Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.
  41. 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.
  42. 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, vol. 9(4), pages 1-26, October.
  43. 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.
  44. Heiler, Siegfried, 1999. "A Survey on Nonparametric Time Series Analysis," CoFE Discussion Papers 99/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
  45. Longin, Francois M, 1997. "The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 837-869.
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.
  51. 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.
  52. Giulio Cifarelli, 2001. "Introduction," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 286-288.
  53. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Other publications TiSEM 3da5ac9e-1f93-41b2-aaa0-5, Tilburg University, School of Economics and Management.
  54. 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.
  55. Ben Naceur, Hassen, 2014. "Stock Market Indexes: A random walk test with ARCH (q) disturbances," MPRA Paper 78978, University Library of Munich, Germany.
  56. 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.
  57. Olivier Habimana, 2017. "Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility," International Economics and Economic Policy, Springer, vol. 14(4), pages 625-642, October.
  58. 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.
  59. Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2016.
  60. Piotr Borkowski & Jan Mielniczuk, 2010. "Postmodel selection estimators of variance function for nonlinear autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 50-63, January.
  61. 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.
  62. repec:hum:wpaper:sfb649dp2007-005 is not listed on IDEAS
  63. 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, University Library of Munich, Germany.
  64. 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.
  65. 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.
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