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All in the family Nesting symmetric and asymmetric GARCH models

Citations

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Cited by:

  1. H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 45-59, March.
  2. Manabu Asai & Michael McAleer, 2009. "Dynamic Conditional Correlations for Asymmetric Processes," CIRJE F-Series CIRJE-F-657, CIRJE, Faculty of Economics, University of Tokyo.
  3. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.
  4. 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.
  5. Neenu Chalissery & Suhaib Anagreh & Mohamed Nishad T. & Mosab I. Tabash, 2022. "Mapping the Trend, Application and Forecasting Performance of Asymmetric GARCH Models: A Review Based on Bibliometric Analysis," JRFM, MDPI, vol. 15(9), pages 1-23, September.
  6. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
  7. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
  8. Taufiq Choudhry, 2000. "Meltdown of 1987 and meteor showers among Pacific-Basin stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 71-80.
  9. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
  10. Jérôme Detemple & Carlton Osakwe, 2000. "The Valuation of Volatility Options," Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
  11. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers 1923, C.E.P.R. Discussion Papers.
  12. Wolff, Christian & Lehnert, Thorsten, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
  13. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  14. Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.
  15. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
  16. Zhao, Xin & Scarrott, Carl John & Oxley, Les & Reale, Marco, 2011. "GARCH dependence in extreme value models with Bayesian inference," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1430-1440.
  17. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
  18. Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
  19. Sánchez-Fung, José R., 2008. "The day-to-day interbank market, volatility, and central bank intervention in a developing economy," MPRA Paper 15648, University Library of Munich, Germany.
  20. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2013. "Conditional Volatility Asymmetry Of Business Cycles: Evidence From Four Oecd Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 33-56, September.
  21. Tully, Edel & Lucey, Brian M., 2007. "A power GARCH examination of the gold market," Research in International Business and Finance, Elsevier, vol. 21(2), pages 316-325, June.
  22. Claudio E. V. Borio & Robert N. McCauley, 1995. "The anatomy of the bond market turbulence of 1994," BIS Working Papers 32, Bank for International Settlements.
  23. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
  24. André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013. "Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 400-441, March.
  25. Colm Kearney & Valerio Poti, 2004. "Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp015, IIIS.
  26. repec:awi:wpaper:0472 is not listed on IDEAS
  27. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
  28. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
  29. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
  30. Vladimir Tsenkov, 2009. "Financial Markets Modelling," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 87-96.
  31. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
  32. Zaffaroni, Paolo & d'Italia, Banca, 2003. "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, vol. 115(2), pages 199-258, August.
  33. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
  34. Şener, Emrah & Baronyan, Sayad & Ali Mengütürk, Levent, 2012. "Ranking the predictive performances of value-at-risk estimation methods," International Journal of Forecasting, Elsevier, vol. 28(4), pages 849-873.
  35. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
  36. 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.
  37. Lehnert, Thorsten & Wolff, Christian C. P., 2004. "Scale-consistent Value-at-Risk," Finance Research Letters, Elsevier, vol. 1(2), pages 127-134, June.
  38. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
  39. Colm Kearney & Valerio Potì, 2008. "Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," European Financial Management, European Financial Management Association, vol. 14(3), pages 419-444, June.
  40. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
  41. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
  42. Baumöhl, Eduard, 2013. "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper 43834, University Library of Munich, Germany.
  43. Meitz, Mika & Saikkonen, Pentti, 2008. "Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1291-1320, October.
  44. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
  45. Christian A.Johnson, 2001. "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 217-247, December.
  46. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
  47. Xuan Vinh Vo & Kevin Daly, 2008. "Volatility amongst firms in the Dow Jones Eurostoxx50 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 569-582.
  48. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
  49. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  50. 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.
  51. Muller, Aline & Verschoor, Willem F.C., 2006. "Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 495-518, October.
  52. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November.
  53. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
  54. Yi-Ting Chen & Zhongjun Qu, 2015. "M Tests with a New Normalization Matrix," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 617-652, May.
  55. Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014. "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, vol. 37(C), pages 518-530.
  56. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
  57. Michael Weylandt & Yu Han & Katherine B. Ensor, 2019. "Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility," Papers 1907.10152, arXiv.org.
  58. Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
  59. Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  60. Chan-Lau, Jorge A. & Ivaschenko, Iryna, 2003. "Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 303-322, December.
  61. Saker Sabkha & Christian de Peretti, 2018. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Working Papers hal-01710398, HAL.
  62. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
  63. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
  64. Jin-Chuan Duan & Peter H. Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Papers (Old Series) 0619, Federal Reserve Bank of Cleveland.
  65. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
  66. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
  67. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
  68. Jose Sanchez-Fung, 2003. "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 247-250.
  69. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April.
  70. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
  71. Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, vol. 31(2), pages 316-321, March.
  72. Dimitriou, Dimitrios & Simos, Theodore, 2011. "The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach," MPRA Paper 37528, University Library of Munich, Germany.
  73. Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2002. "Volatility clustering and nontrading days in Chinese stock markets," Journal of Economics and Business, Elsevier, vol. 54(2), pages 193-217.
  74. Viviana Fernandez, 2005. "Time-Scale Decomposition of Price Transmission in International Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(4), pages 57-90, August.
  75. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
  76. Daal, Elton & Naka, Atsuyuki & Sanchez, Benito, 2005. "Re-examining inflation and inflation uncertainty in developed and emerging countries," Economics Letters, Elsevier, vol. 89(2), pages 180-186, November.
  77. 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.
  78. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  79. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  80. Gerrit Reher & Bernd Wilfling, 2016. "A nesting framework for Markov-switching GARCH modelling with an application to the German stock market," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 411-426, March.
  81. Daly, Kevin & Vo, Vinh, 2008. "Idiosyncratic risk in the Dow Jones Eurostoxx50 Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(16), pages 4261-4271.
  82. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, vol. 85(1), pages 123-150, July.
  83. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
  84. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Calendar anomalies in the Malaysian stock market," MPRA Paper 516, University Library of Munich, Germany.
  85. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
  86. Reboredo, Juan C., 2011. "How do crude oil prices co-move?: A copula approach," Energy Economics, Elsevier, vol. 33(5), pages 948-955, September.
  87. Bohl, Martin T. & Brzeszczynski, Janusz & Wilfling, Bernd, 2009. "Institutional investors and stock returns volatility: Empirical evidence from a natural experiment," Journal of Financial Stability, Elsevier, vol. 5(2), pages 170-182, June.
  88. David S. Bates, 2003. "Maximum Likelihood Estimation of Latent Affine Processes," NBER Working Papers 9673, National Bureau of Economic Research, Inc.
  89. 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.
  90. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
  91. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
  92. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
  93. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  94. 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.
  95. 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.
  96. Saker Sabkha & Christian de Peretti, 2022. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Post-Print hal-01710398, HAL.
  97. Darren Butterworth, 2000. "The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contract," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 439-442.
  98. Yi-Hsien Wang & Chin-Tsai Lin, 2009. "The political uncertainty and stock market behavior in emerging democracy: the case of Taiwan," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(2), pages 237-248, March.
  99. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
  100. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
  101. Jose Sanchez-Fung, 2008. "Modelling the term structure of interest rates in a small emerging market economy," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 93-103.
  102. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
  103. 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.
  104. Lee, Oesook, 2012. "V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 812-817.
  105. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
  106. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
  107. Stavros Degiannakis & George Filis & Renatas Kizys, 2013. "Oil price shocks and stock market volatility: evidence from European data," Working Papers 161, Bank of Greece.
  108. Y. C. Su & H. C. Huang & Y. J. Lin, 2011. "GJR-GARCH model in value-at-risk of financial holdings," Applied Financial Economics, Taylor & Francis Journals, vol. 21(24), pages 1819-1829, December.
  109. Christian A. Johnson, 2000. "Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos," Working Papers Central Bank of Chile 76, Central Bank of Chile.
  110. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
  111. Torro, Hipolit, 2009. "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper 18892, University Library of Munich, Germany.
  112. Sarkar, Nityananda, 2000. "Arch model with Box-Cox transformed dependent variable," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 365-374, December.
  113. Fernandes, Marcelo & de Sa Mota, Bernardo & Rocha, Guilherme, 2005. "A multivariate conditional autoregressive range model," Economics Letters, Elsevier, vol. 86(3), pages 435-440, March.
  114. Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September.
  115. Vladimir Tsenkov, 2011. "Efficient-Market Hypothesis and the Global Financial Crises – on the Example of SOFIX, DJIA and DAX Indexes," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 53-88.
  116. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, University of Reading.
  117. Fuenzalida, Darcy & Mongrut, Samuel & Arteaga, Jaime Raúl & Erausquin, Alexander, 2013. "Good corporate governance: Does it pay in Peru?," Journal of Business Research, Elsevier, vol. 66(10), pages 1759-1770.
  118. Manabu Asai & Michael McAleer, 2005. "Dynamic Asymmetric Leverage in Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 317-332.
  119. McKenzie, Michael D., 1999. "Power transformation and forecasting the magnitude of exchange rate changes," International Journal of Forecasting, Elsevier, vol. 15(1), pages 49-55, February.
  120. Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.
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