An econometric analysis of asymmetric volatility : Theory and application to patents

201 citations recorded by the source corpus.

How researchers see this paper

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

MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009, background): “As in Boussama (2000), McAleer, Chan, and Marinova (2007), Francq and Zakoı̈an (2004), and Straumann and Mikosch (2006) we prove consistency and asymptotic normality of the QMLE of the FCGARCH(m,1,1) under the logmoment condition in Theorem 1.5 We also considered general transition variables.”
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (2009, background): “( 2007 ) showed that the log-moment condition ( 12 ) is given by”
Alternative Asymmetric Stochastic Volatility Models (2009, unknown): “The model can be considered as a stochastic version of the EGARCH model of Nelson (1991), and thus can express various kinds of asymmetries, which we will discuss in the next section.”