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A semiparametric GARCH model for foreign exchange volatility · Study

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ArticleA semiparametric GARCH model for foreign exchange volatility

Lijian Yang2005

Article2005

A semiparametric GARCH model for foreign exchange volatility

74 citations·0/0 files stored·Journal of Econometrics

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993Measuring and Testing the Impact of News on Volatility 1986Generalized autoregressive conditional heteroscedasticity 1993Measuring and Testing the Impact of News on Volatility 1995All in the family Nesting symmetric and asymmetric GARCH models 1997Augmented GARCH (p,q) process and its diffusion limit 1981A Functional Central Limit Theorem for Semimartingales

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2011A semiparametric stochastic volatility model 2009Semiparametric Estimator of Time Series Conditional Variance 2009Semiparametric and Nonparametric ARCH Modeling

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Year2005

Typearticle

Published2005-05-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations74

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2005.03.006

openalex_workW2089448136

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