An experiment on autoregressive and threshold autoregressive models with non-gaussian error with application to realized volatility
Year of publication: |
2019
|
---|---|
Authors: | Zhang, Ziyi ; Li, Wai Keung |
Subject: | Autoregressive Model | non-Gaussian error | realized volatility | Threshold Autoregressive Model | Volatilität | Volatility | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/economies7020058 [DOI] hdl:10419/256990 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Modeling autoregressive processes with moving-quantiles-implied nonlinearity
Ishida, Isao, (2015)
-
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu, (2020)
-
Gabrielsen, Alexandros, (2015)
- More ...
-
Evaluation methods for portfolio management
Law, Keith K. F., (2020)
-
A stochastic volatility model with Markov switching
So, Mike Ka-pui, (1998)
-
Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model
Li, Wai Keung, (1995)
- More ...