Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations

DOI10.1016/J.SPL.2009.09.008zbMath1177.62120OpenAlexW2086183100MaRDI QIDQ1044011

J. Blot

Publication date: 10 December 2009

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

Full work available at URL: https://doi.org/10.1016/j.spl.2009.09.008

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (6)

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 ⋮ Autoregressive processes with generalized hyperbolic innovations ⋮ Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models ⋮ Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models ⋮ A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models

Cites Work

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• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Class of Nonlinear Arch Models

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