MARC details
| 000 -LEADER |
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| fixed length control field |
02274nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240322084926.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240322b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Medeiros, Marcelo C |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
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| Title |
Modeling multiple regimes in financial volatility with a flexible coefficient GARCH (1,1) model |
| Statement of responsibility, etc. |
created by Marcelo C. Medeiros and Alvaro Veiga |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009. |
| 336 ## - CONTENT TYPE |
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| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
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| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
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| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 1 |
| 520 3# - SUMMARY, ETC. |
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| Summary, etc. |
n 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 important to other nonlinear GARCH models. The proposed model nests some of the previous specifications found in the literature and has the following advantages. First, contrary to most of the previous models, more than two limiting regimes are possible, and the number of regimes is determined by a simple sequence of tests that circumvents identification problems that are usually found in nonlinear time series models. The second advantage is that the novel stationarity restriction on the parameters is relatively weak, thereby allowing for rich dynamics. It is shown that the model may have explosive regimes but can still be strictly stationary and ergodic. A simulation experiment shows that the proposed model can generate series with high kurtosis and low first-order autocorrelation of the squared observations and exhibit the so-called Taylor effect, even with Gaussian errors. Estimation of the parameters is addressed, and the asymptotic properties of the quasi-maximum likelihood estimator are derived under weak conditions. A Monte-Carlo experiment is designed to evaluate the finite-sample properties of the sequence of tests. Empirical examples are also considered. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Financial economics |
| Form subdivision |
Volatility |
| General subdivision |
ARCH model |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Veiga, Alvaro |
| Relator term |
co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://doi.org/10.1017/S026646660809004X |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |