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Search: subject:"nonparametric GARCH"
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ARCH-Modell
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Additive approach
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Asymmetry effect
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Chinese stockmarket
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News impact curve
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Nonparametric GARCH model
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autoregressive conditional heteroskedasticity
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modelling volatility
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nonlinear GARCH
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nonparametric GARCH
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semiparametric GARCH
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ARCH model
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Aktienmarkt
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China
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Hou, Ai Jun
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Silvennoinen, Annastiina
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Teräsvirta, Timo
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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SSE/EFI Working Paper Series in Economics and Finance
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Journal of International Financial Markets, Institutions and Money
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Journal of international financial markets, institutions & money
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Multivariate GARCH models
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
Economics Institute for Research (SIR), …
-
2007
properties considered. This also includes semiparametric and
nonparametric
GARCH
models. Existing specification and …
Persistent link: https://www.econbiz.de/10004961388
Saved in:
2
Asymmetry effects of shocks in Chinese stock markets volatility : a generalized additive nonparametric approach
Hou, Ai Jun
- In:
Journal of international financial markets, …
23
(
2013
),
pp. 12-32
Persistent link: https://www.econbiz.de/10009707516
Saved in:
3
Multivariate GARCH models
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2007
properties considered. This also includes semiparametric and
nonparametric
GARCH
models. Existing specification and …
Persistent link: https://www.econbiz.de/10010281295
Saved in:
4
Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach
Hou, Ai Jun
- In:
Journal of International Financial Markets, …
23
(
2013
)
C
,
pp. 12-32
The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies a...
Persistent link: https://www.econbiz.de/10010603083
Saved in:
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