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Asymmetric Nonlinear Smooth Transition Garch Models · Study

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ChapterAsymmetric Nonlinear Smooth Transition Garch Models

Heather M. Anderson1999

Chapter1999

Asymmetric Nonlinear Smooth Transition Garch Models

Heather M. Anderson · Kiseok Nam · Farshid Vahid

96 citations·0/0 files stored·Dynamic modeling and econometrics in economics and finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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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 1995Journal of the American Statistical Association 1993Measuring and Testing the Impact of News on Volatility 1989Why Does Stock Market Volatility Change Over Time?1993A long memory property of stock market returns and a new model

Cited by

2018Risk Compensation and Market Returns: The Role of Investor Sentiment in the Stock Market 2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM 2013What causes price volatility and regime shifts in the natural gas market 2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure 2011A review of threshold time series models in finance

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Details

Year1999

Typechapter

Published1999-01-01

VenueDynamic modeling and econometrics in economics and finance

ISSN-L1566-0419

Languageen

Citations96

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-1-4615-5129-4_10

openalex_workW2239738145

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2002

Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach

2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL

2014Investors’ Risk Preference Characteristics and Conditional Skewness