The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Threshold arch models and asymmetries in volatility
Abstract
This paper attempts to enlarge the class of Threshold Heteroscedastic Models (TARCH) introduced by Zakoían (1991a). We show that it is possible to relax the positivity constraints on the parameters of the conditional variance. Unconstrained models provide a greater generality of the paths allowing for nonlinearities in the volatility. Cyclical behaviour is permitted as well as different relative impacts of positive and negative shocks on volatility, depending on their size. We give empirical evidence using French stock returns.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Engle (1990) · doi:10.1093/rfs/3.1.103 · Cited by 229
Cited by
Analysis of Financial Time Series
(2006) · Technometrics · doi:10.1198/tech.2006.s405 · Cited by 2,348
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
Brownlees, C., & Engle, R. F. (2017) · Review of Financial Studies · doi:10.1093/rfs/hhw060 · Cited by 1,304
Metadata
- Authors
- Rabemananjara, R., & Zakoian, J. M.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 1993-01
- Volume
- 8
- Issue
- 1
- Pages
- 31-49
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W2152141296
- Cited by
- 492
- References
- 2
- FWCI
- 6.46
- Type
- journal article
- Language
- en
- Open access
- closed
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- Rabemananjara, R., & Zakoian, J. M. (1993). Threshold arch models and asymmetries in volatility. Journal of Applied Econometrics. https://doi.org/10.1002/jae.3950080104
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
