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 ...
We consider a class of semiparametric GARCH models with additive autoregressive components linked together by a dynamic coefficient. We propose estimators for the additive components and the dynamic ...
This paper aims to identify the macro variables that affect China’s ETS market through a mixed-frequency sampling data with a variable selection model. Design/methodology/approach – This paper focuses ...
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