In this article we present a theoretical review of the existing literature on Value at Risk (VaR)
specifically focussing on the development of new approaches for its estimation. We effect a …

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 …

Amongmanyexcitingdevelopmentsinstatistic…, nonlineartimeseriesanddata-
analyticnonparametricmethodshavegreatly advanced along seemingly unrelated paths. In …

Although many of the models commonly used in empirical finance are linear, the nature of
financial data suggests that non-linear models are more appropriate for forecasting and …

This book contains a up-to-date overview of nonlinear time series models and their
application to modelling economic relationships. It considers nonlinear models in stationary …

The literature on modeling and forecasting time-varying volatility is ripe with acronyms and
abbreviations used to describe the many different parametric models that have been put …

Threshold autoregression in economics Page 1 Statistics and Its Interface Volume 4 (2011)
123–127 Threshold autoregression in economics Bruce E. Hansen∗ The impact of Howell …

This article considers fractionally integrated autoregressive moving-average time series
models with conditional heteroscedasticity, which combines the popular generalized …

This paper contains a survey of univariate models of conditional heteroskedasticity. The
classical ARCH model is mentioned, and various extensions of the standard Generalized …