Unobserved component models with asymmetric conditional variances

DOI10.1016/j.csda.2004.12.009zbMath1445.62221OpenAlexW2143168994MaRDI QIDQ959303

Carmen Broto, Esther Ruiz Ortega

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/4819

zbMATH Keywords

inflationGARCHleverage effectstructural time series modelsauxiliary residualsfinancial seriesQARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (7)

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks ⋮ Asymmetric multivariate normal mixture GARCH ⋮ Conditionally heteroscedastic unobserved component models and their reduced form ⋮ An analysis of the flexibility of asymmetric power GARCH models ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Volatility forecasting using threshold heteroskedastic models of the intra-day range ⋮ A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models

Cites Work

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• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
• Properties of moments of a family of GARCH processes
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
• Volatility and Links between National Stock Markets
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
• Constrained Indirect Estimation
• Quadratic ARCH Models
• Likelihood-Based Estimation of Latent Generalized ARCH Structures

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