IDEAS home Printed from https://ideas.repec.org/r/cup/etheor/v18y2002i04p868-885_18.html
   My bibliography  Save this item

Moment Structure Of A Family Of First-Order Exponential Garch Models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Neil Kellard & Denise Osborn & Jerry Coakley & John C. Nankervis & Periklis Kougoulis & Jerry Coakley, 2015. "Generalized Variance-Ratio Tests in the Presence of Statistical Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 687-705, September.
  2. Antonis Demos & Dimitra Kyriakopoulou, 2011. "Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model," DEOS Working Papers 1108, Athens University of Economics and Business.
  3. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  4. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, January.
  5. Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2018. "A note on the estimated GARCH coefficients from the S&P1500 universe," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3647-3653, July.
  6. Eduardo Rossi & Dean Fantazzini, 2015. "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
  7. Sofia Anyfantaki & Antonis Demos, 2016. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 293-310, February.
  8. Christian M. Hafner & Dimitra Kyriakopoulou, 2021. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 589-603, March.
  9. Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.
  10. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
  11. repec:imd:wpaper:wp2010-25 is not listed on IDEAS
  12. Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
  13. Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 177-210.
  14. Carol Alexander & Emese Lazar & Silvia Stanescu, 2010. "Analytic Moments for GARCH Processes," ICMA Centre Discussion Papers in Finance icma-dp2011-07, Henley Business School, University of Reading, revised Apr 2011.
  15. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
  16. Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
  17. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
  18. Gregor Dorfleitner & Carina Lung, 2018. "Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 472-494, December.
  19. 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.
  20. M. Karanasos & J. Kim, 2003. "Moments of the ARMA--EGARCH model," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 146-166, June.
  21. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
  22. Wintenberger, Olivier & Cai, Sixiang, 2011. "Parametric inference and forecasting in continuously invertible volatility models," MPRA Paper 31767, University Library of Munich, Germany.
  23. Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
  24. Pourkhanali, Armin & Tafakori, Laleh & Bee, Marco, 2023. "Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect," International Review of Financial Analysis, Elsevier, vol. 89(C).
  25. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
  26. Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
  27. Sucarrat, Genaro & Escribano, Álvaro, 2010. "The power log-GARCH model," UC3M Working papers. Economics we1013, Universidad Carlos III de Madrid. Departamento de Economía.
  28. Ruiz Esther & Pérez Ana, 2012. "Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-33, September.
  29. Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, Department of Economics and Business Economics, Aarhus University.
  30. Nankervis, John C. & Savin, N. E., 2010. "Testing for Serial Correlation: Generalized Andrews–Ploberger Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 246-255.
  31. Mr. Jerome Vandenbussche & Mr. Stanley B Watt & Szabolcs Blazsek, 2009. "The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan," IMF Working Papers 2009/228, International Monetary Fund.
  32. 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.
  33. Rodríguez, Mª José & Ruiz Ortega, Esther, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.
  34. Olivier Wintenberger, 2013. "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 846-867, December.
  35. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004.
  36. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
  37. John C. Nankervis & Nathan E. Savin, 2012. "Testing for uncorrelated errors in ARMA models: non‐standard Andrews‐Ploberger tests," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 516-534, October.
  38. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
  39. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2003. "LARCH, leverage and long memory," LSE Research Online Documents on Economics 2020, London School of Economics and Political Science, LSE Library.
  40. Pérez, Ana & Ruiz, Esther & Veiga, Helena, 2009. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3593-3600, August.
  41. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
  42. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  43. María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 637-668, September.
  44. Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
  45. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).
  46. M. Angeles Carnero, 2004. "Persistence and Kurtosis in GARCH and Stochastic Volatility Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 319-342.
  47. repec:hal:wpaper:hal-01943883 is not listed on IDEAS
  48. Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series 460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.