Level changes in volatility models
From MaRDI portal
Publication:470520
DOI10.1007/S10436-010-0163-5zbMath1298.91191OpenAlexW1972094427MaRDI QIDQ470520
Eric Hillebrand, Mihaela Craioveanu
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-010-0163-5
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) Stochastic models in economics (91B70)
Related Items (1)
Cites Work
- Generating schemes for long memory processes: regimes, aggregation and linearity
- Neglecting parameter changes in GARCH models
- Time series properties of ARCH processes with persistent covariates
- A simple nonlinear time series model with misleading linear properties
- Autoregressive conditional heteroskedasticity and changes in regime
- Testing for parameter changes in ARCH models
- Change-point estimation in ARCH models
- Generalized autoregressive conditional heteroscedasticity
- Conditional Heteroskedasticity Driven by Hidden Markov Chains
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Modelling the persistence of conditional variances
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
- Estimating and Testing Linear Models with Multiple Structural Changes
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Bayesian analysis of switching ARCH models
- Long memory and regime switching
- Fully Bayesian analysis of switching Gaussian state space models
This page was built for publication: Level changes in volatility models
