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Modelling Volatility by Variance Decomposition

Citations

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Cited by:

  1. Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
  2. Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
  3. Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024. "A new GARCH model with a deterministic time-varying intercept," Papers 2410.03239, arXiv.org, revised Oct 2024.
  4. Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
  5. Daiki Maki & Yasushi Ota, 2021. "Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1167-1182, April.
  6. Timo Terasvirta & Zhenfang Zhao, 2011. "Stylized facts of return series, robust estimates and three popular models of volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 67-94.
  7. Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting Realized Covariances Using HAR-Type Models," Graz Economics Papers 2024-20, University of Graz, Department of Economics.
  8. Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2025. "Testing parametric additive time-varying GARCH models," Papers 2506.23821, arXiv.org.
  9. Grote, Claudia & Bertram, Philip, 2015. "A comparative Study of Volatility Breaks," Hannover Economic Papers (HEP) dp-558, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  10. Silvennoinen Annastiina & Teräsvirta Timo, 2016. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 347-364, September.
  11. Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
  12. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
  13. Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CREATES Research Papers 2013-32, Department of Economics and Business Economics, Aarhus University.
  14. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," CREATES Research Papers 2018-14, Department of Economics and Business Economics, Aarhus University.
  15. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2019. "On the asymmetric impact of macro–variables on volatility," Economic Modelling, Elsevier, vol. 76(C), pages 135-152.
  16. Cristina Amado & Timo Teräsvirta, 2017. "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 421-446, April.
  17. Daiki Maki & Yasushi Ota, 2019. "Testing for time-varying properties under misspecified conditional mean and variance," Papers 1907.12107, arXiv.org, revised Sep 2019.
  18. Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).
  19. Chenxing Li & John M. Maheu & Qiao Yang, 2024. "An infinite hidden Markov model with stochastic volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2187-2211, September.
  20. Christian Conrad & Onno Kleen, 2020. "Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 19-45, January.
  21. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
  22. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
  23. Arthur J. Lin & Hai-Yen Chang, 2020. "Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
  24. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
  25. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
  26. Demetrescu, Matei & Kruse-Becher, Robinson, 2025. "Is U.S. real output growth non-normal? A tale of time-varying location and scale," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
  27. Dawei Zhang & Zhuo (June) Cheng & Hasan A. Qurban H. Mohammad & Barrie R. Nault, 2015. "Research Commentary—Information Technology Substitution Revisited," Information Systems Research, INFORMS, vol. 26(3), pages 480-495, September.
  28. Zanetti Chini, Emilio, 2018. "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," International Journal of Forecasting, Elsevier, vol. 34(4), pages 711-732.
  29. Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES ECARES 2015-41, ULB -- Universite Libre de Bruxelles.
  30. Wilson Ye Chen & Richard H. Gerlach, 2017. "Semiparametric GARCH via Bayesian model averaging," Papers 1708.07587, arXiv.org.
  31. Xu, Dinghai, 2022. "Canadian stock market volatility under COVID-19," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 159-169.
  32. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2021. "Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model," Econometrics and Statistics, Elsevier, vol. 20(C), pages 12-28.
  33. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 194-209.
  34. He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2019. "The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016," Econometrics and Statistics, Elsevier, vol. 12(C), pages 1-24.
  35. Campos-Martins, Susana & Amado, Cristina, 2025. "Modelling dynamic interdependence in nonstationary variances with an application to carbon markets," Journal of Economic Dynamics and Control, Elsevier, vol. 173(C).
  36. He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Journal of Econometrics, Elsevier, vol. 239(1).
  37. Cristina Amado, 2025. "Outlier Robust Specification of Multiplicative Time-Varying Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(5), pages 4107-4135, November.
  38. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  39. Demetrescu, Matei & Rodrigues, Paulo M.M., 2022. "Residual-augmented IVX predictive regression," Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
  40. Eric Hillebrand & Marcelo C. Medeiros, 2016. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 23-41, January.
  41. Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
  42. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
  43. Christian Conrad & Robert F. Engle, 2025. "Modelling Volatility Cycles: The MF2‐GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 438-454, June.
  44. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
  45. Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
  46. Matias Quiroz & Laleh Tafakori & Hans Manner, 2024. "Forecasting realized covariances using HAR-type models," Papers 2412.10791, arXiv.org.
  47. Demetrescu, Matei & Hanck, Christoph & Kruse-Becher, Robinson, 2026. "Robust Fixed-b Inference in the Presence of Time-Varying Volatility," Econometrics and Statistics, Elsevier, vol. 37(C), pages 154-173.
  48. Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017. "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
  49. Martínez-García Enrique, 2018. "Modeling time-variation over the business cycle (1960–2017): an international perspective," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
  50. Henryk Gurgul & Roland Mestel & Robert Syrek, 2017. "MIDAS models in banking sector – systemic risk comparison," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 165-181.
  51. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
  52. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
  53. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
  54. Bertelsen, Kristoffer Pons & Borup, Daniel & Jakobsen, Johan Stax, 2021. "Stock market volatility and public information flow: A non-linear perspective," Economics Letters, Elsevier, vol. 204(C).
  55. Adserà, Alícia & Ferrer, Ana M. & Herranz, Virginia, 2020. "Descriptive labor market outcomes of immigrant women across Europe," CLEF Working Paper Series 18, Canadian Labour Economics Forum (CLEF), University of Waterloo.
  56. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
  57. Yew-Choe Lum & Sardar M. N. Islam, 2016. "Time Varying Behavior of Share Returns in Australia: 1988–2004," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
  58. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
  59. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers 1907.04147, arXiv.org, revised Oct 2020.
  60. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
  61. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
  62. Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
  63. Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
  64. Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2017. "On the influence of US monetary policy on crude oil price volatility," Empirical Economics, Springer, vol. 52(1), pages 155-178, February.
  65. Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun, 2016. "Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods," Journal of Financial Stability, Elsevier, vol. 24(C), pages 1-11.
  66. Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
  67. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  68. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2021. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 224(2), pages 306-329.
  69. Yuanyuan Zhang & Rong Liu & Qin Shao & Lijian Yang, 2020. "Two‐Step Estimation for Time Varying Arch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 551-570, July.
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