Estimating and predicting multivariate volatility thresholds in global stock markets

Journal of Applied Econometrics

Volumn 21, Issue 3, 2006, Pages 345-369

  Audrino, Francesco ^a   Trojani, Fabio ^b  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b UNIVERSITY OF ST GALLEN   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646385357     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.869     Document Type: Article

References (41)

1. Audrino F, Bühlmann P. 2001. Tree-structured GARCH models. Journal of the Royal Statistical Society, Series B 63(4): 727-744.
2. Audrino F, Bühlmann P. 2004. Synchronizing multivariate financial time series. Journal of Risk 6(2): 81-106.
3. Bae K, Karolyi GA. 1994. Good news, bad news and international spillovers of stock return volatility between Japan and the US. Pacific-Basin Finance Journal 2: 405-438.
4. Baillie RT, Bollerslev T, Mikkelsen HO. 1996. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74: 3-30.
5. Beckaert G, Wu G. 2000. Asymmetric volatility and risk in equity markets. The Review of Financial Studies 13: 1-42.
6. Becker KG, Finnerty JE, Friedman JE. 1995. Economic news and equity market linkages between the US and UK. Journal of Banking & Finance 19: 1191-1210.
7. Black F. 1976. Studies in stock price volatility changes. Proceedings of The American Statistical Association, Business and Economic Statistics Section, 177-181.
8. Bollerslev T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307-327.
9. Bollerslev T, Ghysels E. 1996. Periodic autoregressive conditional heteroskedasticity. Journal of Business and Economic Statistics 14: 139-157.
10. Breiman L, Friedman JH, Olshen RA, Stone CJ. 1984. Classification and Regression Trees. Wadsworth: Belmont, CA.
11. Brockwell PJ, Davis RA. 1991. Time Series: Theory and Methods. Springer-Verlag: New York.
12. Chen CWS, Chiang TC, So MKP. 2003. Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model. Journal of Economics and Business 55: 487-502.
13. Chiang TC. 1998. Stock returns and conditional variance-covariance: evidence from Asian stock markets. In Emerging Capital Markets: Financial and Investment Issues, Choi JJ, Doukas JA (eds). Quorum Books: Westport, CN; 241-252.
14. Diebold FX, Inoue A. 2001. Long memory and regime switching. Journal of Econometrics 105: 131-159.
15. Diebold FX, Mariano RS. 1995. Comparing predictive accuracy. Journal of Business and Economic Statistics 13: 253-263.
16. Efron B, Tibshirani RJ. 1993. An Introduction to the Bootstrap. Chapman & Hall: London.
17. Engle RF. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation. Econometrica 50: 987-1008.
18. Engle RF, Ito TR, Lin W. 1990. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica 58: 525-542.
19. Eun CS, Shin S. 1989. International transmission of stock market movements. Journal of Financial and Quantitative Analysis 24: 241-256.
20. Fornari F, Mele A. 1997. Sign and volatility-switching ARCH models: theory and applications to international stock markets. Journal of Applied Econometrics 12: 49-65.
21. Glosten LR, Jagannathan R, Runkle D. 1993. On the relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48: 1779-1801.
22. Gonzales-Rivera G. 1998. Smooth transition GARCH models. Studies in Nonlinear Dynamics and Econometrics 3(2): 61-78.
23. Granger CWJ. 2001. Long memory processes-an economists viewpoint. Working paper, University of California, San Diego.
24. Granger CWJ, Hyung N. 2000. Occasional structural breaks and long memory. Working paper 99-14, University of California, San Diego.
25. Hamao Y, Masulis R, Ng V. 1990. Correlations in price changes and volatility across international stock markets. The Review of Financial Studies 3: 281-307.
26. Haregud GE. 1997. A new non-linear GARCH model. PhD thesis, Stockholm School of Economics.
27. Hwang S, Satchell S. 1998. Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options. In Forecasting Volatility in the Financial Markets, Knight J, Satchell S (eds). Butterworth: London.
28. Kim SW, Rogers JH. 1995. International stock price spillovers and market liberalization: evidence from Korea, Japan and the United States. Journal of Empirical Finance 2: 117-133.
29. King MA, Wadhwani S. 1990. Transmission of volatility between stock markets. The Review of Financial Studies 3: 5-33.
30. Koutmos G, Booth GG. 1995. Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance 14: 747-762.
31. Li CW, Li WK. 1996. On a double threshold autoregressive heteroscedastic time series model. Journal of Applied Econometrics 11: 253-274.
32. Liu J, Li WK, Li CW. 1997. On a threshold autoregression with conditional heteroscedastic variances. Journal of Statistical Planning and Inference 62(2): 279-300.
33. Masih R, Masih AMM. 2001. Long and short term dynamic causal transmission amongst international stock markets. Journal of International Money and Finance 20: 563-587.
34. Medeiros MC, Veiga A. 2002., Are there multiple regimes in financial volatility? Working paper series, Computing in Economics and Finance, 311.
35. Nelson DB. 1991. Conditional heteroscedasticity in asset returns: a new approach. Econometrica 59: 347-370.
36. Nocedal J, Wright SJ. 1999. Numerical Optimization. Springer-Verlag: New York.
37. Pesaran MH, Timmermann A. 1992. A simple nonparametric test of predictive performance. Journal of Business and Economic Statistics 10: 461-465.
38. Poon S, Granger C. 2003. Forecasting financial market volatility: a review. Journal of Economic Literature 41(2): 478-539.
39. Rabemananjara R, Zakoian JM. 1993. Threshold ARCH models and asymmetries in volatility. Journal of Applied Econometrics 8: 31-49.
40. Verhoeven P, McAleer M. 2001. Modeling conditional volatility using flexible smooth transition GARCH processes. In Proceedings of the International Conference on Modelling and Forecasting Financial Volatility, Vol. 3, Socioeconomic Systems, Franses PH, McAleer M, Chan F, Hoti S, Lim LK (eds). Australian National University: Canberra, Australia; 115-158.
41. Zakoian JM. 1994. Threshold heteroskedastic models. Journal of Economic Dvnamics and Control 18: 931-955.