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Benchmarks and the accuracy of GARCH model estimation
8 references·16 citing·29 second hopsampled
Benchmarks and the accuracy of GARCH model estimation (2001)Benchmarks and the accuracy of GARCH mode…Predicting stock index volatility: can market volume help? (1998)Predicting stock index volati…Periodic Autoregressive Conditional Heteroscedasticity (1996)Periodic Autoregressive Condi…Quadratic ARCH Models (1995)Quadratic ARCH ModelsThreshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices (2020)Sub-prime Crisis or COVID-19:…The accuracy of asymmetric GARCH model estimation (2018)The accuracy of asymmetric GA…Forecasting crude-oil market volatility: Further evidence with jumps (2017)Forecasting crude-oil market …Markov-Switching GARCH Models in R : The MSGARCH Package (2016)Markov-Switching GARCH Models…Google Internet search activity and volatility prediction in the market for foreign currency (2012)Google Internet search activi…Generalised Wishart Processes (2010)Generalised Wishart ProcessesCopula Processes (2010)Copula ProcessesClustering heteroskedastic time series by model-based procedures (2008)Clustering heteroskedastic ti…VOLATILITY AND CORRELATION FORECASTING (2006)VOLATILITY AND CORRELATION FO…A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL (2006)A CLOSED-FORM ESTIMATOR FOR T…Volatility Forecasting (2005)Volatility ForecastingPortfolio management with heuristic optimization (2005)Portfolio management with heu…Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Estimating Semiparametric ARC…25 Years of Iif Time Series Forecasting: A Selective Review (2005)25 Years of Iif Time Series F…Multivariate GARCH models: software choice and estimation issues (2003)Multivariate GARCH models: so…Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence (2002)Maximum likelihood estimation…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)A test for independence based on the correlation dimension (1996)Forecasting volatility in the New Zealand stock market (2002)Volatility forecasting for risk management (2002)Forecasting the volatility of stock price index (2006)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Measuring and Testing the Impact of News on Volatility (1993)A test for volatility spillover with application to exchange rates (2001)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)The risk return tradeoff in the long run: 1836–2003 (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Regime-switching energy price volatility: The role of economic policy uncertainty (2021)Deep learning in predicting cryptocurrency volatility (2022)The energy transition: The behavior of renewable energy stock during the times of energy security uncertainty (2023)NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES (2009)A semiparametric stochastic volatility model (2011)Aircraft Multidisciplinary Design Optimization Under Both Model and Design Variables Uncertainty (2013)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Short-Term Interest Rates as Subordinated Diffusions (1997)Forecasting Stock Market Volatility with Regime-Switching GARCH Models (2005)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Augmented GARCH (p,q) process and its diffusion limit (1997)A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)Modelling Nonlinear Economic Time Series (2010)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1995Quadratic ARCH Models559 cited
  • 1993Threshold arch models and asymmetries in volatility492 cited
  • 1996Periodic Autoregressive Conditional Heteroscedasticity376 cited
  • 1998Predicting stock index volatility: can market volume help?231 cited

Cited by

  • 2016Markov-Switching GARCH Models in R : The MSGARCH Package145 cited
  • 2005Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1141 cited
  • 2005Portfolio management with heuristic optimization130 cited
  • 2012Google Internet search activity and volatility prediction in the market for foreign currency128 cited
  • 2005Volatility Forecasting118 cited
  • 2008Clustering heteroskedastic time series by model-based procedures103 cited
  • 2003Multivariate GARCH models: software choice and estimation issues96 cited

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

  • 2006VOLATILITY AND CORRELATION FORECASTING87 cited
  • 2017Forecasting crude-oil market volatility: Further evidence with jumps85 cited
  • 2002Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence71 cited
  • 2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL63 cited
  • 200525 Years of Iif Time Series Forecasting: A Selective Review61 cited
  • 2010Generalised Wishart Processes54 cited
  • 2010Copula Processes51 cited
  • 2020Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices38 cited
  • 2018The accuracy of asymmetric GARCH model estimation33 cited