SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A new hyperbolic GARCH model
16 references·0 citing·34 second hop
A new hyperbolic GARCH model (2015)A new hyperbolic GARCH modelA Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Handbook of Financial Time Series (2009)Handbook of Financial Time Se…Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004)Moment and Memory Properties …STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM (2000)STATIONARY ARCH MODELS: DEPEN…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsModeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY (1994)ON THE SQUARED RESIDUAL AUTOC…A long memory property of stock market returns and a new model (1993)A long memory property of sto…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression (1991)Testing for strong serial cor…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Long memory in continuous‐time stochastic volatility models (1998)Modeling and Forecasting Realized Volatility (2001)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Fractional Brownian Motions, Fractional Noises and Applications (1968)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)The Distribution of Exchange Rate Volatility (1999)The Distribution of Realized Exchange Rate Volatility (2001)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Time-changed Lévy processes and option pricing (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Econometric Analysis of Cross Section and Panel Data (2001)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression440 cited
  • 2004Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model437 cited
  • 2009Handbook of Financial Time Series383 cited
  • 1994

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
285 cited
  • 2000STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM253 cited
  • Cited by

    No citing works inside the corpus for this window.