Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

By Felix Chan, Michael Mcaleer. 2001

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/63163576e1bf75b05cd0607a47c144d687e76ebe

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yasemen Ucan
2. Nilgun Guler Bayazit
3. Melike Bildirici
4. Muhammad Shahbaz
5. N. Apergis
6. D. Danuletiu

In Finance

1. Yasemen Ucan
2. Nilgun Guler Bayazit
3. Melike Bildirici

Citations in the corpus

• Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models (2020, unknown): “See also Chan and McAleer (2003) for a discussion of the robustness of the QML for smooth-transition-type models.”
• Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM (2020, background): “In this paper, in accordance with Franses et al. [65], Terasvirta [66], and Chan and McAleer [67], STARGARCH type models are applied.”