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ArticleThreshold heteroskedastic models

Jean‐Michel Zakoïan1994

Article1994

Threshold heteroskedastic models

Jean‐Michel Zakoïan

2,294 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 2,294 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1989Why Does Stock Market Volatility Change Over Time?1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects

Cited by

n.d.Multivariate GARCH models: a survey 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 1997Emerging equity market volatility 2007Liquidity and Expected Returns: Lessons from Emerging Markets 2005Market Integration and Contagion 1996The econometrics of financial markets 1994Chapter 49 Arch models 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance

Details

Year1994

Typearticle

Published1994-09-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations2,294

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/0165-1889(94)90039-6

openalex_workW2013109882

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