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Citations for "A Class of Nonlinear ARCH Models"

by Higgins, Matthew L & Bera, Anil K

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  1. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
  2. Xibin Zhang & Maxwell L. King, 2004. "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers 26/04, Monash University, Department of Econometrics and Business Statistics.
  3. Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
  4. Christian Francq & Jean-Michel Zakoïan, 2013. "Optimal predictions of powers of conditionally heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 345-367, 03.
  5. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, 06.
  6. Christian Francq & Jean-Michel Zakoïan, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print peer-00732536, HAL.
  7. Výrost, Tomáš & Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Granger causality stock market networks: Temporal proximity and preferential attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 262-276.
  8. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
  9. 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.
  10. Jamsheed Shorish & Stephen Spear, . "Shaking the Tree: An Agency Theoretic Model of Asset Pricing," GSIA Working Papers 2003-E19, Carnegie Mellon University, Tepper School of Business.
  11. Tommaso Proietti & Helmut Luetkepohl, 2011. "Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?," Economics Working Papers ECO2011/29, European University Institute.
  12. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, School of Economics and Management, University of Aarhus.
  13. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 255-275, September.
  14. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136.
  15. 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.
  16. Oliver Linton & Benoit Perron, 2000. "The shape of the risk premium: evidence from a semiparametric GARCH model," LSE Research Online Documents on Economics 24769, London School of Economics and Political Science, LSE Library.
  17. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
  18. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.
  19. Köksal, Bülent, 2009. "A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns," MPRA Paper 30510, University Library of Munich, Germany.
  20. Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons," IMF Working Papers 03/131, International Monetary Fund.
  21. John Cotter, 2011. "Uncovering Long Memory in High Frequency UK Futures," Papers 1103.5651, arXiv.org.
  22. Brooks, Robert D. & Faff, Robert W. & McKenzie, Michael D. & Mitchell, Heather, 2000. "A multi-country study of power ARCH models and national stock market returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 377-397, June.
  23. Esther Ruiz & Ana Pérez, 2001. "Asymmetric Long Memory Garch: A Reply To Hwang’S Model," Statistics and Econometrics Working Papers ws016229, Universidad Carlos III, Departamento de Estadística y Econometría.
  24. Hwang, S.Y. & Kim, S. & Lee, S.D. & Basawa, I.V., 2007. "Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors," Statistics & Probability Letters, Elsevier, vol. 77(13), pages 1439-1448, July.
  25. Haas, Markus, 2008. "The autocorrelation structure of the Markov-switching asymmetric power GARCH process," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1480-1489, September.
  26. Bouoiyour, Jamal & Selmi, Refk, 2014. "How Robust is the Connection between Exchange Rate Uncertainty and Tunisia’s Exports?," MPRA Paper 57505, University Library of Munich, Germany.
  27. Daly, Kevin, 2008. "Financial volatility: Issues and measuring techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2377-2393.
  28. Marc Sáez & Jorge V. Pérez Rodríguez, 1994. "Modelos autorregresivos para la varianza condicionada heteroscedastica (ARCH)," Economics Working Papers 95, Department of Economics and Business, Universitat Pompeu Fabra.
  29. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  30. El Bouhadi, Abdelhamid & Achibane, Khalid, 2009. "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper 19482, University Library of Munich, Germany.
  31. Sarkar, Nityananda, 2000. "Arch model with Box-Cox transformed dependent variable," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 365-374, December.
  32. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
  33. 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.
  34. Lux, Thomas, 1997. "Time variation of second moments from a noise trader/infection model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 1-38, November.
  35. Zhu, Ke, 2015. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," MPRA Paper 61930, University Library of Munich, Germany.
  36. Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs," Economic Systems, Elsevier, vol. 39(2), pages 253-268.
  37. Aknouche, Abdelhakim & Al-Eid, Eid M. & Hmeid, Aboubakry M., 2011. "Offline and online weighted least squares estimation of nonstationary power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1535-1540, October.
  38. 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.
  39. Hwang, S.Y. & Baek, J.S. & Park, J.A. & Choi, M.S., 2010. "Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 26-33, January.
  40. Keith Pilbeam & Kjell Langeland, 2015. "Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts," International Economics and Economic Policy, Springer, vol. 12(1), pages 127-142, March.
  41. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
  42. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus.
  43. 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.
  44. Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
  45. Roland Weigand, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," Working Papers 144, Bavarian Graduate Program in Economics (BGPE).
  46. 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.
  47. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  48. Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 22-38.
  49. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
  50. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
  51. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  52. Tsiotas, G., 2007. "On the use of the Box-Cox transformation on conditional variance models," Finance Research Letters, Elsevier, vol. 4(1), pages 28-32, March.
  53. Kononovicius, A. & Ruseckas, J., 2015. "Nonlinear GARCH model and 1/f noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 74-81.
  54. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 15(3), pages 94-138.
  55. Bouoiyour, Jamal & Selmi, Refk, 2014. "Exchange Uncertainty and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model," MPRA Paper 59568, University Library of Munich, Germany, revised 2014.
  56. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia.
  57. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods and Applications, Springer, vol. 18(4), pages 555-583, November.
  58. Aleksejus Kononovicius & Julius Ruseckas, 2014. "Nonlinear GARCH model and 1/f noise," Papers 1412.6244, arXiv.org, revised Feb 2015.
  59. Francq, Christian & Zakoian, Jean-Michel, 2013. "Inference in non stationary asymmetric garch models," MPRA Paper 44901, University Library of Munich, Germany.
  60. Margiora, Philippa & Panaretos, John, 2001. "Autoregressive Conditional Heteroskedasticity Models and the Dynamic Structure of the Athens Stock Exchange," MPRA Paper 6358, University Library of Munich, Germany.
  61. Bouoiyour, Jamal & Miftah, Amal & Selmi, Refk, 2014. "Do Financial Flows raise or reduce Economic growth Volatility? Some Lessons from Moroccan case," MPRA Paper 57258, University Library of Munich, Germany.
  62. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June.
  63. Bouoiyour, Jamal & Selmi, Refk, 2012. "Modeling exchange volatility in Egypt using GARCH models," MPRA Paper 49131, University Library of Munich, Germany, revised Mar 2013.
  64. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September.
  65. Hwang, S. Y. & Basawa, I. V., 2004. "Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 209-220, July.
  66. Hwang, S. Y. & Kim, Tae Yoon, 2004. "Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure," Stochastic Processes and their Applications, Elsevier, vol. 110(2), pages 295-314, April.
  67. Komunjer, Ivana, 2001. "Consistent Estimation for Aggregated GARCH," University of California at San Diego, Economics Working Paper Series qt1fp2v3q7, Department of Economics, UC San Diego.
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