Asymmetric GARCH processes featuring both threshold effect and bilinear structure
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choi, M. S. | - |
dc.contributor.author | Park, J. A. | - |
dc.contributor.author | Hwang, S. Y. | - |
dc.date.available | 2021-02-22T12:47:04Z | - |
dc.date.issued | 2012-03 | - |
dc.identifier.issn | 0167-7152 | - |
dc.identifier.issn | 1879-2103 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/11967 | - |
dc.description.abstract | A class of asymmetric GARCH models is proposed by combining threshold effect and bilinear structure. The class is referred to as threshold-bilinear GARCH processes. A simulation study demonstrates that the class exhibits diverse asymmetries in volatilities, accommodating existing asymmetric models. Stationarity and existence of moments are discussed. Applications to Korean stock prices are illustrated. (C) 2011 Elsevier B.V. All rights reserved. | - |
dc.format.extent | 8 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.title | Asymmetric GARCH processes featuring both threshold effect and bilinear structure | - |
dc.type | Article | - |
dc.publisher.location | 네델란드 | - |
dc.identifier.doi | 10.1016/j.spl.2011.11.023 | - |
dc.identifier.scopusid | 2-s2.0-84855185532 | - |
dc.identifier.wosid | 000300756600002 | - |
dc.identifier.bibliographicCitation | STATISTICS & PROBABILITY LETTERS, v.82, no.3, pp 419 - 426 | - |
dc.citation.title | STATISTICS & PROBABILITY LETTERS | - |
dc.citation.volume | 82 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 419 | - |
dc.citation.endPage | 426 | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | FAMILY | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordPlus | STATIONARITY | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | MOMENTS | - |
dc.subject.keywordAuthor | Asymmetric volatility | - |
dc.subject.keywordAuthor | Bilinear GARCH | - |
dc.subject.keywordAuthor | Threshold GARCH | - |
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