Asymmetric Volatility Models with Structural Breaks
Author:
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03610918.2011.611403
Reference38 articles.
1. Detecting multiple breaks in financial market volatility dynamics
2. Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
3. Theory and inference for a Markov switching GARCH model
4. Black , F. ( 1976 ). Studies of stock price volatility changes.Proceedings of the 1976 Meetings of the Business and Economics Statistics Section, American Statistical Associationpp. 177–181 .
5. Generalized autoregressive conditional heteroskedasticity
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A time varying GARCH(p,q) model and related statistical inference;Statistics & Probability Letters;2013-09
2. Integer autoregressive models with structural breaks;Journal of Applied Statistics;2013-08
3. Geometric ergodicity of asymmetric volatility models with stochastic parameters;Electronic Journal of Probability;2013-01-01
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