In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
This is a preview. Log in through your library . Abstract This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a ...
In order to accurately and reasonably investigate risk spillovers from the international crude oil market to the financial market, we develop a copula generalized autoregressive conditional ...
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