Statements (21)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
time series model volatility model |
| gptkbp:application |
option pricing
risk management modeling financial time series |
| gptkbp:capturedBy |
leverage effect
|
| gptkbp:feature |
asymmetric volatility response
|
| gptkbp:fullName |
Threshold Autoregressive Conditional Heteroskedasticity model
|
| gptkbp:generalizes |
gptkb:ARCH_model
gptkb:GARCH_model |
| https://www.w3.org/2000/01/rdf-schema#label |
TARCH model
|
| gptkbp:introduced |
gptkb:Robert_F._Engle
Victor K. Ng |
| gptkbp:introducedIn |
1993
|
| gptkbp:relatedTo |
gptkb:ARCH_model
gptkb:GARCH_model |
| gptkbp:usedIn |
finance
econometrics |
| gptkbp:bfsParent |
gptkb:ARCH_model
|
| gptkbp:bfsLayer |
6
|