scispace - formally typeset
Journal ArticleDOI

Threshold heteroskedastic models

Reads0
Chats0
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
More filters
Journal ArticleDOI

Measuring Risk in Fixed Income Portfolios using Yield Curve Models

TL;DR: In this paper, the authors proposed a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR) using a general class of dynamic factor models, including the dynamic versions of the Nelson-Siegel and Svensson models.
Journal ArticleDOI

Detecting volatility persistence in GARCH models in the presence of the leverage effect

TL;DR: In this paper, a nonlinear regime-switching threshold generalized autoregressive conditional heteroskedasticity model is proposed to analyse financial data, which can extract information about the sources of volatility persistence in the presence of the leverage effect.
Journal ArticleDOI

Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs

TL;DR: In this paper, the authors studied the risk-return distances of 18 emerging stock markets in the period from January 2000 to December 2013 and found that during more volatile periods, the risk return characteristics in emerging markets exhibit lower similarity to the characteristics found in developed markets.
Journal ArticleDOI

Partially Adaptive Econometric Methods For Regression and Classification

TL;DR: This paper contributes to the development of partially adaptive estimation methods that derive their adaptability from membership in families of distributions, which are distinguished by modifications of simple parameters.
Journal ArticleDOI

Asymmetric impact of shocks on Islamic stock indices: a cross country analysis

TL;DR: In this article, the authors investigated the asymmetric impact of shocks on Islamic stock market and examined the returns and volatility spillover effects across different Islamic markets, and they found that negative shocks or bad news have stronger effects on the Islamic stock returns' volatility as compared to positive shocks or good news.
References
More filters
Journal ArticleDOI

Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation

Robert F. Engle
- 01 Jul 1982 - 
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

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

Daniel B. Nelson
- 01 Mar 1991 - 
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.
Related Papers (5)