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Specification and testing of multiplicative time-varying GARCH models with applications
16 references·1 citing·32 second hop
Specification and testing of multiplicative time-varying GARCH models with applications (2014)Specification and testing of multiplicati…Modelling Nonlinear Economic Time Series (2010)Modelling Nonlinear Economic …The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…On more robust estimation of skewness and kurtosis (2004)On more robust estimation of …Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…Evaluating GARCH models (2002)Evaluating GARCH modelsSmooth-Transition GARCH Models (1998)Smooth-Transition GARCH ModelsTesting the adequacy of smooth transition autoregressive models (1996)Testing the adequacy of smoot…ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY (1994)ON THE SQUARED RESIDUAL AUTOC…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…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…Modeling The persistence Of Conditional Variances: A Comment (1986)Modeling The persistence Of C…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations (2013)Conditional Correlation Model…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Autoregressive Conditional Skewness (1999)Conditional Skewness in Asset Pricing Tests (2000)Market Skewness Risk and the Cross Section of Stock Returns (2013)Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework (2017)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals (2000)Panel Smooth Transition Regression Models (2005)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)The Determinants of Stock and Bond Return Comovements (2010)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Testing for a unit root in the nonlinear STAR framework (2002)Analysis of Financial Time Series (2006)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited
  • 2004On more robust estimation of skewness and kurtosis523 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 1986Modeling The persistence Of Conditional Variances: A Comment437 cited
  • 2010Modelling Nonlinear Economic Time Series352 cited
  • 1994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY285 cited

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  • 1998Smooth-Transition GARCH Models236 cited
  • 2002Evaluating GARCH models215 cited
  • Cited by

    • 2013Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations37 cited