APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS

DOI10.1111/J.1467-842X.2009.00542.XzbMath1337.62332OpenAlexW2116067476MaRDI QIDQ2810372

Qiwei Yao, Jeremy Penzer, Mingjin Wang

Publication date: 1 June 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2009.00542.x

zbMATH Keywords

quasi-maximum likelihood estimationfinancial returnsleverage effectsautoregressive conditional heteroscedasticityleast absolute deviation estimationTaylor effect

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Related Items (1)

Asymmetric COGARCH processes

Cites Work

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• Convergence of stochastic processes

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