Contemporaneous asymmetry in GARCH processes

By M. E. Babsiri, Jean-Michel Zakoian. 2001

67 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3f754824a1723996b5b4adacfc2e66ef7bca973e

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Citations in the corpus

Value-at-Risk for long and short trading positions (2003, background): “…- 21/12/2000) and the Japanese NIKKEI stock indexes (NIKKEI, 4/1/1984 - 21/12/2000); the Alcoa stock (AA, 03/01/1990 - 03/05/2002), the MacDonald stock (MCD, 03/01/1990 - 03/05/2002) and Merck stock (MRK, 03/01/1990 - 03/05/2002), where the numbers in parentheses are the start and end dates for…”
GARCH Models (2010, unknown): “The introduction of ‘news impact curves’ providing a visualization of the different forms of volatility is due to Pagan and Schwert (1990) and Engle and Ng (1993). The AVGARCH model was introduced by Taylor (1986) and Schwert (1989). The EGARCH model was introduced and studied by Nelson (1991). The ”
Measuring Downside Risk - Realised Semivariance (2008, methodology): “This type of statistic relates to the work of Babsiria and Zakoian (2001) who built separate ARCH type conditional variance models of daily returns using positive and negative daily returns.”
ESTIMATING WEAK GARCH REPRESENTATIONS (2000, methodology): “Since the introduction of autoregressive conditional heteroskedasticity by Engle (1982), and its generalization by Bollerslev (1986), GARCH models have been the most widely used (see the review by Bollerslev, Engle, and Nelson, 1994).”
Volatility Transmission Models: A Survey (2006, unknown): “Since the concept of conditional heteroscedasticity was introduced in Engle (1982), numerous studies have applied and extended this methodology.”
Testing the Martingale Difference Hypothesis (2003, background): “Two interesting financial applications would be testing for conditional homoskedasticity and testing whether the standardized residuals from a GARCH model is an MDS process, as it has been commonly assumed [an exception is [El Babsiri and Zakoian (2001)] ].”
Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness (2006, background): “Granger and Andersen (1978) give further details for this example.”