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A review of threshold time series models in finance
16 references·7 citing·26 second hop
A review of threshold time series models in finance (2011)A review of threshold time series models …Modelling Financial Time Series (2007)Modelling Financial Time Seri…CAViaR (2004)CAViaRDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Journal of the American Statistical Association (1995)Journal of the American Stati…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The relationship between return and market value of common stocks (1981)The relationship between retu…The pricing of commodity contracts (1976)The pricing of commodity cont…Harnessing LLMs for Temporal Data - A Study on Explainable Financial Time Series Forecasting (2023)Harnessing LLMs for Temporal …Volatility and dynamic dependence modeling: Review, applications, and financial risk management (2021)Volatility and dynamic depend…Bayesian estimation of realized GARCH-type models with application to financial tail risk management (2021)Bayesian estimation of realiz…A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (2019)A THRESHOLD MODEL FOR LOCAL V…Stationary Threshold Vector Autoregressive Models (2018)Stationary Threshold Vector A…Modeling mechanism of economic growth using threshold autoregression models (2018)Modeling mechanism of economi…Bayesian Unit Root Test in Double Threshold Heteroskedastic Models (2012)Bayesian Unit Root Test in Do…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2004CAViaR2,210 cited

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  • 2007Modelling Financial Time Series1,415 cited
  • Cited by

    • 2023Harnessing LLMs for Temporal Data - A Study on Explainable Financial Time Series Forecasting82 cited
    • 2021Bayesian estimation of realized GARCH-type models with application to financial tail risk management31 cited
    • 2019A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA27 cited
    • 2021Volatility and dynamic dependence modeling: Review, applications, and financial risk management23 cited
    • 2018Stationary Threshold Vector Autoregressive Models17 cited
    • 2012Bayesian Unit Root Test in Double Threshold Heteroskedastic Models15 cited
    • 2018Modeling mechanism of economic growth using threshold autoregression models13 cited