Contemporaneous-Threshold Smooth Transition GARCH Models
نویسندگان
چکیده
منابع مشابه
Smooth-Transition GARCH Models
The asymmetric response of conditional variances to positive versus negative news has been traditionally modeled with threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One important property of this...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 2011
ISSN: 1558-3708
DOI: 10.2202/1558-3708.1755