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 ...

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Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...

It has become common practice to fit Garch models to financial time series by means of pseudo-maximum likelihood. In this study we investigate the behavior of several maximum likelihood-based methods ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

Machine learning is reshaping the way portfolios are built, monitored, and adjusted. Investors are no longer limited to ...