Nothing Special   »   [go: up one dir, main page]
create a website
The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications. (2005). Radchenko, Stanislav ; Korenok, Oleg.
In: Econometrics.
RePEc:wpa:wuwpem:0508015.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 36

References cited by this document

Cocites: 31

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. 1. Asai, A., McAleer, M., and J. Yu, 2005. Multivariate Stochastic Volatility: A Review. Working paper.

  2. 10. Chernov, M., Gallant, A. R., Ghysels, E., and G. Tauchen, 2003. Alternative models for stock price dynamics. Journal of Econometrics 116, 225 257.

  3. 11. Danielsson, J., 1994. Stochastic volatility in asset prices: Estimation with simulated maximum likelihood. Journal of Econometrics 64, 375-400.

  4. 12. Forbes, C. S., and P. Kofman, 2000. Bayesian soft targets. Monash University working paper.

  5. 13. Geweke, J., 1994. Bayesian comparison of econometric models. Working Paper, Federal Reserve Bank of Minneapolis, Minnesota.

  6. 14. Ghysels, E., A. C. Harvey, and E. Renault, 1996. Stochastic volatility. In C. R. Rao and G. S. Maddala (Eds.), Statistical Methods in Finance, pp. 119-191. Amsterdam: North-Holland.

  7. 15. Hammoudeh, S., 1996. Oil price, mean reversion and zone readjustments. Southern Economic Journal 62(4), 916-929.
    Paper not yet in RePEc: Add citation now

  8. 17. Hansen, P. R., and A. Lunde, 2005. Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? Journal of Applied Econometrics, forthcoming.

  9. 18. Harvey, A.C., Ruiz, E., and N. Shephard, 1994. Multivariate stochastic variance models. Review of Economic Studies 61, 247 264.

  10. 19. Horan, S. M., Peterson J. H., and J. Mahar, 2004. Implied volatility of oil futures options surrounding OPEC meetings. The Energy Journal 25(3), 103 - 124.

  11. 2. Alhajji, A. F., and D. Huettner, 2000. OPEC and other commodity cartels: a comparison. Energy Policy 28, 1151 - 1164.

  12. 20. Jacquier, E., Polson, N., Rossi, P., 1994. Bayesian analysis of stochastic volatility models (with discussion). Journal of Business and Economic Statistics 12 (4), 371417.

  13. 21. Jacquier, E., Polson N. G., and P. E. Rossi, 2004. Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Journal of Econometrics 122, 185 212.

  14. 22. Kim, S., Shephard, N., and S, Chib, 1998. Stochastic volatility: Likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361-393.

  15. 23. Koedijk, K. G., Stork, P. A., and C. G. de Vries, 1998. An EMS target zone model in discrete time. Journal of Apllied Econometrics 13, 31-48.

  16. 25. Krugman, P. R., 1991. Target zones and exchange rate dynamics. Quarterly Journal of Economics 106, 669 - 682.

  17. 26. Li, K., 1999, Exchange rate target zone models: a Bayesian evaluation. Journal of Applied Econometrics 19, 461-490.

  18. 27. Lundberg, S., and T. Terasvirta, 2005. A time series model for exchange rate in a target zone with applications. Journal of Econometrics, forthcoming.

  19. 28. Lundberg, S., Terasvirta, T., and D. van Dijk, 2003. Time-varying smooth transition autoregressive models. Journal of Business and Economic Statistics, 21(1), 104 - 121.

  20. 29. Liesenfeld, R., and J. F. Richard, 2003. Univariate and multivariate stochastic volatility models: estimation and diagnostics. Journal of Empirical Finance 10, 505 531.

  21. 3. Bai X., Russell J., and C. Tiao, 2003. Kurtosis of GARCH and stochastic volatility models with non-normal innovations. Journal of Econometrics 114, 349-360.

  22. 30. Malmsten, H., and T. Terasvirta, 2004. Stylized facts of financial time series and three popular models of volatility. SSE/EFI working paper series in Economics and Finance N563.

  23. 31. Melino, A., S. M. Turnbull, 1990. Pricing foreign currency options with stochastic volatility. Journal of Econometrics 45, 239265.

  24. 32. Mundaca, B. G., 2001. Central bank interventions and exchange rate band regimes. Journal of International Money and Finance 20, 677 - 700.

  25. 33. Ritter, C., and M. A. Tanner, 1992. Facilitating the Gibbs sampler: the Gibbs stopper and the Griddy-Gibbs sampler. Journal of American Statistical Association 87, 861 - 868.
    Paper not yet in RePEc: Add citation now

  26. 34. Ruiz, E., 1994. Quasi-maximum likelihood estimation of stochastic volatility models. Journal of Econometrics 63, 289306.

  27. 35. Shephard, N., 1996. Statistical Aspects of ARCH and Stochastic Volatility. In D. R. Cox, D. V. Hinkley, and O. E. Barndorff-Nielsen (Eds.), Time Series Models in Econometrics, Finance and Other Fields, pp. 1-67. London: Chapman & Hall.

  28. 36. Sollis, R., Leybourne, S. and P. Newbold, 1999. Unit roots and asymmetric smooth transitions, Journal of Time Series Analysis 20, 671677.

  29. 37. Tang, L., and S. Hammoudeh, 2002. An empirical exploration of the world oil price under the target zone model. Energy Economics 24, 577 - 596.

  30. 38. Taylor, M. P., 1995. The economics of exchange rates. Journal of Economic Literature [..], 13 - 47.

  31. 39. Yu, J., 2002. Forecasting Volatility in the New Zealand Stock Market. Applied Financial Economics 12, 193-202.

  32. 5. Bauwens, L., and M. Lubrano, 1998. Bayesian inference on GARCH models using the Gibbs sampler. Econometrics Journal 1, 23-46.

  33. 6. Bekaert, G., and S. F. Gray, 1998. Target zones and exchange rates: an empirical investigation. Journal of International Economics 45, 1-35.

  34. 7. Broto, C., and E. Ruiz, 2004. Estimation methods for stochastic volatility methods: a survey. Journal of Economic Surveys 18(5), 613 - 649.

  35. 8. Brown, L., Wang Y., and L. Zhao, 2003. On the Statistical Equivalence at Suitable Frequencies of GARCH and Stochastic Volatility Models with the Corresponding Diffusion Model. University of Pennsylvania working paper.
    Paper not yet in RePEc: Add citation now

  36. 9. Carnero A., Pena D., and E. Ruiz, 2004. Persistence and Kurtosis in GARCH and Stochastic Volatility Models. Journal of Financial Econometrics, Vol. 2, No. 2, pp. 319 - 342.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. (2018). Li, Mengheng ; Scharth, Marcel.
    In: Working Paper Series.
    RePEc:uts:ecowps:49.

    Full description at Econpapers || Download paper

  2. Forecasting realized volatility: a review. (2017). Bucci, Andrea.
    In: MPRA Paper.
    RePEc:pra:mprapa:83232.

    Full description at Econpapers || Download paper

  3. Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models. (2016). Ooms, Marius ; Mesters, Geert ; Koopman, Siem Jan.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:35:y:2016:i:4:p:659-687.

    Full description at Econpapers || Download paper

  4. Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2016). Eratalay, Mustafa.
    In: International Econometric Review (IER).
    RePEc:erh:journl:v:8:y:2016:i:2:p:19-52.

    Full description at Econpapers || Download paper

  5. How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches. (2013). Zhang, Zhaoyong ; Ho, Kin-Yip ; Shi, Yanlin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:436-456.

    Full description at Econpapers || Download paper

  6. A comparative study of two models SV with MCMC algorithm. (2012). Hachicha, Fatma ; Masmoudi, Afif.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:38:y:2012:i:4:p:479-493.

    Full description at Econpapers || Download paper

  7. Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2012). Eratalay, Mustafa.
    In: EUSP Department of Economics Working Paper Series.
    RePEc:eus:wpaper:ec2012_04.

    Full description at Econpapers || Download paper

  8. Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2012). Eratalay, Mustafa.
    In: EUSP Department of Economics Working Paper Series.
    RePEc:eus:wpaper:ec0412.

    Full description at Econpapers || Download paper

  9. Wavelet-based multi-resolution GARCH model for financial spillover effects. (2011). Huang, Shian-Chang.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:11:p:2529-2539.

    Full description at Econpapers || Download paper

  10. Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility. (2010). Medeiros, Marcelo ; Hillebrand, Eric.
    In: Textos para discussão.
    RePEc:rio:texdis:578.

    Full description at Econpapers || Download paper

  11. Forecasting Realized Volatility with Linear and Nonlinear Models. (2010). Medeiros, Marcelo ; McAleer, Michael.
    In: Textos para discussão.
    RePEc:rio:texdis:568.

    Full description at Econpapers || Download paper

  12. Revealing the arcane: an introduction to the art of stochastic volatility models. (2010). Tsyplakov, Alexander.
    In: MPRA Paper.
    RePEc:pra:mprapa:25511.

    Full description at Econpapers || Download paper

  13. Exponential Series Estimator of multivariate densities. (2010). Wu, Ximing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:156:y:2010:i:2:p:354-366.

    Full description at Econpapers || Download paper

  14. Modelling and Forecasting Noisy Realized Volatility. (2010). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/21.

    Full description at Econpapers || Download paper

  15. Block Structure Multivariate Stochastic Volatility Models. (2009). McAleer, Michael ; Caporin, Massimiliano ; Asai, Manabu.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf699.

    Full description at Econpapers || Download paper

  16. Forecasting Realized Volatility with Linear and Nonlinear Models. (2009). Medeiros, Marcelo ; McAleer, Michael.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf686.

    Full description at Econpapers || Download paper

  17. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics. (2009). Koop, Gary ; Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:20125.

    Full description at Econpapers || Download paper

  18. Forecasting Realized Volatility with Linear and Nonlinear Models. (2009). Medeiros, Marcelo ; McAleer, Michael.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17303.

    Full description at Econpapers || Download paper

  19. Modelling and managing financial risk: An overview. (2009). McAleer, Michael ; GAO, Jiti ; Allen, David.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:8:p:2521-2524.

    Full description at Econpapers || Download paper

  20. Forecasting Realized Volatility with Linear and Nonlinear Models. (2009). Medeiros, Marcelo ; McAleer, Michael.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf189.

    Full description at Econpapers || Download paper

  21. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes. (2008). Sartore, Domenico ; Casarin, Roberto.
    In: Working Papers.
    RePEc:ubs:wpaper:0816.

    Full description at Econpapers || Download paper

  22. Particle Filters for Markov-Switching Stochastic-Correlation Models. (2008). Casarin, Roberto ; amisano, gianni.
    In: Working Papers.
    RePEc:ubs:wpaper:0814.

    Full description at Econpapers || Download paper

  23. Multivariate stochastic volatility using state space models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0223.

    Full description at Econpapers || Download paper

  24. Multivariate stochastic volatility with Bayesian dynamic linear models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0214.

    Full description at Econpapers || Download paper

  25. Modelling and Forecasting Multivariate Realized Volatility. (2008). Voev, Valeri ; Halbleib, Roxana.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-39.

    Full description at Econpapers || Download paper

  26. A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries. (2007). Medeiros, Marcelo ; McAller, Michael.
    In: Textos para discussão.
    RePEc:rio:texdis:544.

    Full description at Econpapers || Download paper

  27. Econometric estimation in long-range dependent volatility models: Theory and practice. (2007). GAO, Jiti ; Casas, Isabel.
    In: MPRA Paper.
    RePEc:pra:mprapa:11981.

    Full description at Econpapers || Download paper

  28. Econometric modelling in finance and risk management: An overview. (2007). McAleer, Michael ; GAO, Jiti ; Allen, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:11978.

    Full description at Econpapers || Download paper

  29. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-20.

    Full description at Econpapers || Download paper

  30. The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications. (2005). Radchenko, Stanislav ; Korenok, Oleg.
    In: Econometrics.
    RePEc:wpa:wuwpem:0508015.

    Full description at Econpapers || Download paper

  31. The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications. (2005). Radchenko, Stanislav ; Korenok, Oleg.
    In: Working Papers.
    RePEc:vcu:wpaper:0505.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-05 09:32:54 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.