APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS-Reference-Cited by-同舟云学术

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APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS

Published:2009-06 Issue:2 Volume:51 Page:201-225
ISSN:1369-1473
Container-title:Australian & New Zealand Journal of Statistics
language:en
Short-container-title:

Author:

Penzer Jeremy,Wang Mingjin,Yao Qiwei

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-842X.2009.00542.x/fullpdf

Reference42 articles.

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

2. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator;Andrews;Econometrica,1992

3. GARCH processes: structure and estimation;Berkes;Bernoulli,2003

4. Convergence of Probability Measures

5. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986

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. Exploratory Analysis and Modeling of Stock Returns;Journal of Computational and Graphical Statistics;2016-04-02

2. Asymmetric COGARCH processes;Journal of Applied Probability;2014-12

3. Asymmetric COGARCH processes;Journal of Applied Probability;2014-12

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