A new estimator method for GARCH models

DOI10.1140/EPJB/E2007-00191-6MaRDI QIDQ978796zbMATH OpenOpenAlexFDO

Authors G. M. Favaro, E. R. Cazaroto, Roberto N. Onody

Publication date 25 June 2010

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1140/epjb/e2007-00191-6

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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Cites work

• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A modified GARCH model with spells of shocks
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Generalized autoregressive conditional heteroscedasticity
• Introduction to Econophysics
• Modeling the changing asymmetry of conditional variances
• Prediction in dynamic models with time-dependent conditional variances
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Theory of Financial Risk and Derivative Pricing

Cited in

(12)

• Estimating weak GARCH representations
• A new GJR‐GARCH model for ℤ‐valued time series
• Recursive Estimation of GARCH Models
• Estimating GARCH models using support vector machines*
• M-ESTIMATION IN GARCH MODELS
• A new approach to Value-at-Risk: GARCH-TSLx model with inference
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• GARCH Model Estimation Using Estimated Quadratic Variation
• Self-weighted recursive estimation of GARCH models
• M-estimate for the stationary hyperbolic GARCH models
• A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH
• Si-GARCH: Construction and validation of a new method for the detection of breaking points in models

Describes a project that uses

Uses Software

• RiskMetrics
• Matlab
• Maple

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