Persistent-threshold-GARCH processes: model and application

DOI10.1016/J.SPL.2008.11.018zbMath1158.62056OpenAlexW2089070184MaRDI QIDQ1012221

J. Martínez

Publication date: 15 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.11.018

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function ⋮ A dynamic Markov regime-switching GARCH model and its cumulative impulse response function ⋮ Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations

Uses Software

• FinTS

Cites Work

• Estimation and tests for power-transformed and threshold GARCH models
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• ARCH models and financial applications
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Generalized autoregressive conditional heteroscedasticity
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• Nonlinear Dynamic Structures
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Analysis of Financial Time Series

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