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Tree structured GARCH models

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References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
1993Threshold arch models and asymmetries in volatility492 cited
1999Nonparametric Autoregression with Multiplicative Volatility and Additive mean112 cited
1998Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models41 cited

Cited by

2009Splines for Financial Volatility30 cited
2008A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies29 cited
2010A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations27 cited
2009Semiparametric and Nonparametric ARCH Modeling26 cited
2006Estimating and predicting multivariate volatility thresholds in global stock markets22 cited

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