A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

Keyphrases

• Smooth Transition 100%
• Long Memory 100%
• Multiple Regimes 100%
• Heterogeneous Autoregressive Model 100%
• Estimation Method 66%
• Size Asymmetry 66%
• Nonlinearity 33%
• Monte Carlo Simulation 33%
• Volatility 33%
• Testing Procedures 33%
• Flexible Model 33%
• Finite Sample Properties 33%
• Memory Behavior 33%
• Long-range Dependence 33%
• Financial Time Series 33%
• Dow Jones Industrial Average 33%
• Dynamic Time Series 33%
• Transaction-level Data 33%
• Forecasting Volatility 33%

Mathematics

• Autoregressive Model 100%
• Monte Carlo 33%
• Approximates 33%
• Nonlinearities 33%
• Testing Procedure 33%
• Range Dependence 33%
• Ten Year 33%