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Volatility asymmetry in functional threshold GARCH model
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Volatility asymmetry in functional threshold GARCH model (2019)Volatility asymmetry in functional thresh…Functional Generalized Autoregressive Conditional Heteroskedasticity (2016)Functional Generalized Autore…A FUNCTIONAL VERSION OF THE ARCH MODEL (2012)A FUNCTIONAL VERSION OF THE A…GARCH Models (2010)GARCH ModelsDynamic Asymmetric GARCH (2006)Dynamic Asymmetric GARCHStationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes (2003)Stationarity and moment struc…Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach (2002)Asymmetric mean-reversion and…Smooth-Transition GARCH Models (1998)Smooth-Transition GARCH ModelsThreshold heteroskedastic models (1994)Threshold heteroskedastic mod…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…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Discussion (1990)DiscussionGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Scree Test For The Number Of Factors (1966)The Scree Test For The Number…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Application of Electronic Computers to Factor Analysis (1960)A Rationale and Test for the Number of Factors in Factor Analysis (1965)The Eating Attitudes Test: psychometric features and clinical correlates (1982)Evaluating the use of exploratory factor analysis in psychological research. (1999)Best Practices for Developing and Validating Scales for Health, Social, and Behavioral Research: A Primer (2018)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)Evaluating GARCH models (2002)Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood (2004)A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Extensions of some classical methods in change point analysis (2014)Robust Econometric Inference for Stock Return Predictability (2014)Exponential GARCH Modeling With Realized Measures of Volatility (2015)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1966The Scree Test For The Number Of Factors13,549 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
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
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  • 1998Smooth-Transition GARCH Models236 cited
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  • 2012A FUNCTIONAL VERSION OF THE ARCH MODEL121 cited
  • 2016Functional Generalized Autoregressive Conditional Heteroskedasticity92 cited
  • 2002Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach60 cited
  • 2006Dynamic Asymmetric GARCH41 cited
  • 2003Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes

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