Xiangjin Shen - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T10:08:38+00:00Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-21/
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms.2018-05-14T14:30:19+00:00enAnalysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement2018-05-14Econometric and statistical methodsPayment clearing and settlement systemsStaff Working Paper 2018-21https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-21.pdfAnalysis of Asymmetric GARCH Volatility Models with Applications to Margin MeasurementElena GoldmanXiangjin ShenMay 2018CC5C58GG1G19G2G23G28