This paper provides a review of some recent theoretical results for time series models with
GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model …

Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …

This paper investigates the asymptotic theory for a vector autoregressive moving average–
generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The …

In the 20 years following the publication of the ARCH model, there has been a vast quantity
of research uncovering the properties of competing volatility models. Wide‐ranging …

The use of Markov-switching models to capture the volatility dynamics of financial time
series has grown considerably during past years, in part because they give rise to a …

This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …

Publisher Summary This chapter provides a unified continuous-time, frictionless, no-
arbitrage framework for systematically categorizing the various volatility concepts …

This paper investigates some structural properties of a family of GARCH processes. A simple
sufficient condition for the existence of the αδ-order stationary solution of the processes is …

This paper uses the specific-to-general methodological approach that is widely used in
science, in which problems with existing theories are resolved as the need arises, to …

Various univariate and multivariate models of volatility have been used to evaluate market
risk, asymmetric shocks, thresholds, leverage effects, and Value-at-Risk in economics and …