On time‐varying amplitude HGARCH model-Reference-Cited by-同舟云学术

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On time‐varying amplitude HGARCH model

Published:2020-08-05 Issue:2 Volume:26 Page:2538-2547
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int J Fin Econ

Author:

Valizadeh Toktam¹,Rezakhah Saeid¹,Mohammadi Basatini Ferdous²^ORCID

Affiliation:

1. Department of Statistics, Faculty of Mathematics and Computer Science Amirkabir University of Technology 424 Hafez Avenue, Tehran Iran

2. Department of Mathematics and Statistics Shoushtar Branch, Islamic Azad University Shoushtar Iran

Funder

Amirkabir University of Technology

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.1919

Reference20 articles.

1. AmadoC.andTeräsvirtaT.(2008). Modelling conditional and unconditional heteroskedasticity with smoothly time‐varying structure.CREATES; Research paper https://www.econstor.eu/bitstream/10419/56173/1/557536162.pdf.

2. Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

3. Fractionally integrated generalized autoregressive conditional heteroskedasticity

4. Modeling volatility with time-varying FIGARCH models

5. Generalized autoregressive conditional heteroskedasticity

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