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DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS
16 references·2 citing·38 second hop
DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS (2015)DETECTING FOR SMOOTH STRUCTURAL CHANGES I…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…Neglecting parameter changes in GARCH models (2005)Neglecting parameter changes …Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Maximum likelihood estimation…GARCH processes: structure and estimation (2003)GARCH processes: structure an…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …Detecting multiple breaks in financial market volatility dynamics (2002)Detecting multiple breaks in …The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity (2001)The New Econometrics of Struc…Optimal changepoint tests for normal linear regression (1996)Optimal changepoint tests for…Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (1996)Consistency and Asymptotic No…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Modeling The persistence Of Conditional Variances: A Comment (1986)Modeling The persistence Of C…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points (2014)Time Series Segmentation Proc…Nonparametric estimation of a time-varying GARCH model (2012)Nonparametric estimation of a…ARCH modeling in finance (1992)Quadratic ARCH Models (1995)A multiple indicators model for volatility using intra-daily data (2005)Stationarity and Persistence in the GARCH(1,1) Model (1990)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)Risk, Uncertainty, and Expected Returns (2012)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Do Police Reduce Crime? Estimates Using the Allocation of Police Forces After a Terrorist Attack (2004)Oil and the Macroeconomy Since the 1970s (2004)The Potato's Contribution to Population and Urbanization: Evidence From A Historical Experiment (2011)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Estimation of multivariate models for time series of possibly different lengths (2006)Copula–Based Models for Financial Time Series (2009)Introduction to Time Series and Forecasting (2002)Forecasting volatility of crude oil markets (2008)The Volatility of Realized Volatility (2008)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)
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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
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2001The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity853 cited
  • 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
  • 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes568 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 2003GARCH processes: structure and estimation482 cited
  • 1996Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models458 cited
  • 1986Modeling The persistence Of Conditional Variances: A Comment437 cited
  • 2002Detecting multiple breaks in financial market volatility dynamics

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324 cited
  • 2005Neglecting parameter changes in GARCH models321 cited
  • 1996Optimal changepoint tests for normal linear regression304 cited
  • Cited by

    • 2012Nonparametric estimation of a time-varying GARCH model29 cited
    • 2014Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points16 cited