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Asymmetric Nonlinear Smooth Transition Garch Models
16 references·16 citing·23 second hopsampled
Asymmetric Nonlinear Smooth Transition Garch Models (1999)Asymmetric Nonlinear Smooth Transition Ga…Smooth-Transition GARCH Models (1998)Smooth-Transition GARCH ModelsModeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Journal of the American Statistical Association (1995)Journal of the American Stati…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Chapter 49 Arch models (1994)Chapter 49 Arch modelsAutoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…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…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Discussion (1990)DiscussionWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM (2020)Analyzing Crude Oil Prices un…Risk Compensation and Market Returns: The Role of Investor Sentiment in the Stock Market (2018)Risk Compensation and Market …Forecasting risk via realized GARCH, incorporating the realized range (2016)Forecasting risk via realized…Investors’ Risk Preference Characteristics and Conditional Skewness (2014)Investors’ Risk Preference Ch…What causes price volatility and regime shifts in the natural gas market (2013)What causes price volatility …Forecasting oil prices: Smooth transition and neural network augmented GARCH family models (2013)Forecasting oil prices: Smoot…Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives (2012)Optimal and coherent economic…Forecasting volatility with asymmetric smooth transition dynamic range models (2012)Forecasting volatility with a…A review of threshold time series models in finance (2011)A review of threshold time se…Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model (2010)Long memory and nonlinearity …MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009)MODELING MULTIPLE REGIMES IN …Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure (2008)Modelling Conditional and Unc…Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models (2008)Bayesian inference and model …Modeling Conditional Skewness in Stock Returns (2007)Modeling Conditional Skewness…Testing For Threshold Nonlinearity in Short-Term Interest Rates (2005)Testing For Threshold Nonline…Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach (2002)Asymmetric mean-reversion and…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)
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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
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1994Chapter 49 Arch models880 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1998Smooth-Transition GARCH Models

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236 cited
  • 1990Discussion229 cited
  • Cited by

    • 2018Risk Compensation and Market Returns: The Role of Investor Sentiment in the Stock Market95 cited
    • 2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM77 cited
    • 2013What causes price volatility and regime shifts in the natural gas market71 cited
    • 2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure64 cited
    • 2011A review of threshold time series models in finance63 cited
    • 2002Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach60 cited
    • 2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL59 cited
    • 2014Investors’ Risk Preference Characteristics and Conditional Skewness51 cited
    • 2016Forecasting risk via realized GARCH, incorporating the realized range49 cited
    • 2013Forecasting oil prices: Smooth transition and neural network augmented GARCH family models46 cited
    • 2012Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives41 cited
    • 2007Modeling Conditional Skewness in Stock Returns40 cited
    • 2012Forecasting volatility with asymmetric smooth transition dynamic range models39 cited
    • 2008Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models38 cited
    • 2010Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model32 cited
    • 2005Testing For Threshold Nonlinearity in Short-Term Interest Rates30 cited