The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes

By Robert F. Engle, José Gonzalo Rangel. 2005

148 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/94b495368b3c1435d17fc5633c29c40208dc6f7f

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Citations in the corpus

A Component Model for Dynamic Correlations (2011, methodology): “or MIDAS discussed in Ghysels, Santa-Clara, and Valkanov (2005), Ghysels, SantaClara, and Valkanov (2006), Forsberg and Ghysels (2004), among others.”
Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2008, methodology): “Recently, more complicated GARCH-type models have been proposed to allow for unconditional heteroskedasticity, e.g., varying coefficients GARCH models (Polzehl and Spokoiny, 2006) and spline GARCH models (Engle and Rangel, 2004).”
The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data (2012, result): “According to the Efficient Market Hypothesis (Championed by Fama, 1970), in an efficient market, all the relevant information about the changes in macroeconomic factors are fully reflected in the current stock prices and hence, investors would not be earned abnormal profits in such markets. If the c”
Measuring the frequency dynamics of financial connectedness and systemic risk (2015, unknown): “One of the issues that has recently gained importance in volatility modeling is giving up the assumption of global stationarity of the data (Stărică and Granger, 2005; Engle and Rangel, 2005) and focusing on local stationarity instead. When studying the connectedness of market risk using variance de”
Anticipating Long‐Term Stock Market Volatility (2014, unknown): “Instead, Engle and Rangel (2008) opt for a two-step strategy.”
ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (2009, background): “Economic and financial time series often appear to be nonstationary and/or driven by heavy-tailed noises (see Mandelbrot, 1963; Mittnik, Rachev, and Paolella, 1998; Mittnik and Rachev, 2000; Engle and Rangel, 2005; and Polzehl and Spokoiny, 2004).”
Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models (2007, background): “All of the chapters in the book edited by Barnett et al. (1991) and several chapters 2 in the Handbook of Econometrics Volume 4 edited by Engle and McFadden (1994) have already reviewed the work in semiparametric and nonparametric econometrics that has been conducted up to the mid-1990s.”