Journal ArticleDOI
Threshold heteroskedastic models
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TLDR
In this paper, the conditional standard deviation is a piecewise linear function of past values of the white noise, which allows different reactions of the volatility to different signs of the lagged errors.About:
This article is published in Journal of Economic Dynamics and Control.The article was published on 1994-09-01. It has received 2125 citations till now. The article focuses on the topics: Autoregressive conditional heteroskedasticity & Heteroscedasticity.read more
Citations
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Modeling volatility using state space models with heavy tailed distributions
TL;DR: This article focuses on stochastic volatility models in the NGSSM, where the observation equation is modeled with heavy tailed distributions such as Log-gamma, Log-normal and Weibull, which is attractive because the likelihood can be analytically computed.
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Inventories and upstream gasoline price dynamics
TL;DR: In this article, the authors show that the asymmetry in gasoline price dynamics is caused by changes in the net marginal convenience yield: higher costs of marketing and storage lead to rising gasoline prices, whereas a drop in these costs lowers gasoline prices.
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Propriedades estatísticas das séries de retornos das principais ações brasileiras
TL;DR: In this article, the authors studied the returns of six Brazilian stocks, chosen among the most liquid and from different economic sectors, and concluded that the series are stationary, have non-normal (leptokurtic) distribution and are dependent.
Posted Content
A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
TL;DR: In this article, the authors compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting.
Journal Article
Return Performance, Leverage Effect, and Volatility Spillover in Islamic Stock Indices Evidence from DJIMI, FTSEGII and KLSI.
Mohamed Albaity,Rubi Ahmad +1 more
TL;DR: In this paper, the authors investigated the behavior of returns and volatility of three Islamic stock market indices DJIMI, FTSEGII, and KLSI that are listed in the USA, the United Kingdom, and Malaysia respectively.
References
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Journal ArticleDOI
Handbook of Mathematical Functions
Journal ArticleDOI
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
Journal ArticleDOI
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
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Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.