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- W1991282023 abstract "In the flnancial market, the volatility of flnancial assets plays a key role in the problem of measuring market risk in many investment decisions. Insights into economic forces that may contribute to or amplify volatility are thus important. The flnancial market is characterized by regime switching between phases of low volatility and phases of high volatility. Nonlinearity and long memory are two salient features of volatility. To jointly capture the features of long memory and nonlinearity, a new threshold time series model with hyperbolic generalized autoregressive conditional heteroscedasticity is considered in this article. A goodness of flt test is derived to check the adequacy of the fltted model. Simulation and empirical results provide further support to the proposed model. AMS 2000 subject classifications: Primary 91B84; secondary 62M10." @default.
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- W1991282023 date "2011-01-01" @default.
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- W1991282023 title "On the threshold hyperbolic GARCH models" @default.
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- W1991282023 doi "https://doi.org/10.4310/sii.2011.v4.n2.a11" @default.
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