A Markov Model of Switching-Regime ARCH
Dados Bibliográficos
| ID | 19419632 |
|---|---|
| Autores | Jun Cai (0000-0002-3806-7230, Hong Kong University of Science and Technology, autor correspondente) |
| Ano | 1994 |
| Volume | 12 |
| Fascículo | 3 |
| Páginas | 309-316 |
| Data de publicação | 1994-07-01 |
| Peer Reviewed | Sim |
| Open Access | Não |
| Tipo | ARTICLE |
| Periódico | Journal of Business and Economic Statistics (JOURNAL) |
| Identificadores do periódico | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Editora | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1994.10524546 |
| OpenAlex | W2125982646 |
| Idioma | EN |
| Citações recebidas | 17 |
| Referências citadas | 25 |
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Arch · Autocorrelation · Autoregressive conditional heteroskedasticity · Autoregressive model · Conditional variance · Econometrics · Economics · Geography · Heteroscedasticity · Markov chain · Regime shift · Spurious relationship · Statistics · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
Exchange Rates and Markov Switching Dynamics
Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models
Private sector involvement in the resolution of financial crises
Nonlinear Features of Realized FX Volatility
Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
Exploring historical economic relationships
A Stochastic Volatility Model With Markov Switching
Identifying Bull and Bear Markets in Stock Returns
Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility
Markov Switching Garch Models
Smoothing Variances Across Time
Nonlinearities and Nonstationarities in Stock Returns
Regime Dependent Effects of Inflation Uncertainty on Real Growth
Nonlinear bidirectional multiscale volatility transmission effect between stocks and exchange rate markets in the selected African countries
The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
ARCH modeling in finance
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Estimating Time Varying Risk Premia in the Term Structure
Expected stock returns and volatility
Persistence in Variance, Structural Change, and the GARCH Model
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
Estimation of the Optimal Futures Hedge
| Obras citantes distintas | 17 |
|---|---|
| Citações por ano | 0,55 |
| Intervalo de citações | 1995 - 2026 (32) |
| Velocidade de citação | current |
| Altamente citado | Não |
| Tipos de citação | Neutras: 11 |