Department of Economics and Business Economics

Timo Teräsvirta

Nonlinear models for autoregressive conditional heteroskedasticity

Research output: Working paperResearch

Standard

Nonlinear models for autoregressive conditional heteroskedasticity. / Teräsvirta, Timo.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

Research output: Working paperResearch

Harvard

Teräsvirta, T 2011 'Nonlinear models for autoregressive conditional heteroskedasticity' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Teräsvirta, T. (2011). Nonlinear models for autoregressive conditional heteroskedasticity. Aarhus: Institut for Økonomi, Aarhus Universitet.

CBE

Teräsvirta T. 2011. Nonlinear models for autoregressive conditional heteroskedasticity. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Teräsvirta, Timo Nonlinear models for autoregressive conditional heteroskedasticity. Aarhus: Institut for Økonomi, Aarhus Universitet. 2011., 29 p.

Vancouver

Teräsvirta T. Nonlinear models for autoregressive conditional heteroskedasticity. Aarhus: Institut for Økonomi, Aarhus Universitet. 2011 Jan 4.

Author

Teräsvirta, Timo. / Nonlinear models for autoregressive conditional heteroskedasticity. Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

Bibtex

@techreport{f6befccb0d584a3d8091aa9baa004252,
title = "Nonlinear models for autoregressive conditional heteroskedasticity",
abstract = "This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multi- plicative decomposition of the variance receive attention.",
keywords = "nonlinear ARCH, nonlinear GARCH, neural network,",
author = "Timo Ter{\"a}svirta",
year = "2011",
month = "1",
day = "4",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Nonlinear models for autoregressive conditional heteroskedasticity

AU - Teräsvirta, Timo

PY - 2011/1/4

Y1 - 2011/1/4

N2 - This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multi- plicative decomposition of the variance receive attention.

AB - This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multi- plicative decomposition of the variance receive attention.

KW - nonlinear ARCH, nonlinear GARCH, neural network,

M3 - Working paper

BT - Nonlinear models for autoregressive conditional heteroskedasticity

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -