A scenario tree generation algorithm under MGARCH models

DOI10.3969/J.ISSN.1005-3085.2014.03.013MaRDI QIDQ5171713zbMATH OpenFDO

Authors Daobao Xu, Zhiping Chen, Guan Yu

Publication date 11 February 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2014.03.013

zbMATH Keywords

MGARCH modelscenario generation algorithmsequential optimizationtree structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic programming (90C15) Nonconvex programming, global optimization (90C26) Applications of mathematical programming (90C90) Economic time series analysis (91B84)

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Cited in

(2)

• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Generating scenario trees: a parallel integrated simulation-optimization approach

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