On the asymmetry in the volatility of financial time series: a buffered transition approach

DOI10.1080/00949655.2023.2187800OpenAlexW4327616641MaRDI QIDQ6074361

Nadia Boussaha, Abderaouf Khalfi, Fayçal Hamdi

Publication date: 19 September 2023

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2023.2187800

zbMATH Keywords

asymmetrystochastic volatilitythreshold modelsequential Monte Carlo methodbuffer zone

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics (62-XX) Sequential estimation (62L12)

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