MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL

DOI10.1017/S026646660809004XzbMath1231.62162OpenAlexW2102459836MaRDI QIDQ3551018

Alvaro Veiga, Marcelo C. Medeiros

Publication date: 8 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660809004x

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) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items (13)

Semi-parametric expected shortfall forecasting in financial markets ⋮ Modeling time-varying parameters using artificial neural networks: a GARCH illustration ⋮ Modeling tick-by-tick realized correlations ⋮ Level changes in volatility models ⋮ On geometric ergodicity of CHARME models ⋮ Testing for nonlinearity in mean and volatility for heteroskedastic models ⋮ On Some Models for Value-At-Risk ⋮ Markov switching component GARCH model: Stability and forecasting ⋮ Estimation and Asymptotic Inference in the AR-ARCH Model ⋮ Markov switching asymmetric GARCH model: stability and forecasting ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap ⋮ A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model ⋮ Multi-regime nonlinear capital asset pricing models

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