Journal ArticleDOI
Threshold heteroskedastic models
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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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Volatility models with Leverage effect
Rodríguez Villar,Mª José +1 more
TL;DR: In this paper, the authors compare the performance of different models of GARCH with respect to the volatilidad of series financieras and their caracteristicas.
Book ChapterDOI
Nonlinear Time Series Models
TL;DR: In this paper, the authors assume that for a given sequence of r.v's having identical marginal distribution F(⋅ ), with zero mean and variance σ σ 2 < ∞, the marginal distribution σ = 0.
Posted Content
Antecedent of Brand Trust in Online Tertiary Education: A Malaysian and Singapore Perspective
TL;DR: In this article, the antecedent of brand trust, operating as quality cues in online tertiary education are related to institutional and courseware design assurance factors, site quality and public awareness.
Journal ArticleDOI
Conditional dependence between oil price and stock prices of renewable energy: a vine copula approach
Hanène Mejdoub,Ahmed Ghorbel +1 more
TL;DR: In this article, the authors focus on the co-movement between oil prices and renewable energy stock markets in a multivariate framework, using the vine copula approach that offers a great flexibility in conditio...
Journal ArticleDOI
The leverage effect and the asymmetry of the error distribution in garch-based models: the case of brazilian market related series
TL;DR: In this paper, the authors test whether asymmetry and leverage effect are present in some series related to the Brazilian market and find that both stylized facts are present, mostly simultaneously.
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.
Journal ArticleDOI
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.
Journal ArticleDOI
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.