An econometric analysis of asymmetric volatility: theory and application to patents

DOI10.1016/J.JECONOM.2006.10.014zbMath1418.62517OpenAlexW2095220910MaRDI QIDQ280248

Felix T. S. Chan, Michael McAleer, Dora Marinova

Publication date: 9 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.10.014

zbMATH Keywords

asymmetryregularity conditionsGARCHtrendsasymptotic theoryvolatilitypatentsnon-nested testsEGARCHGJRinternational rankingspatent shares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• bootstrap

Cites Work

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• Stationarity and the existence of moments of a family of GARCH processes.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a multivariate conditional heteroscedastic model
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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