Adaptive filtering for GARCH models

DOI10.1007/3-540-45675-9_62MaRDI QIDQ4708031zbMATH OpenFDO

Authors P. Lynch, Nigel M. Allinson

Publication date 12 June 2003

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL http://link.springer.de/link/service/series/0558/bibs/2412/24120416.htm

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Computing methodologies and applications (68U99) Economic time series analysis (91B84)

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Cited in

(6)

• Ai algorithms for fitting GARCH parameters to empirical financial data
• Volatility filtering in estimation of kurtosis (and variance)
• A nonlinear Bayesian filtering approach to estimating adaptive market effciency
• Tracking volatility
• Adaptive signal processing of asset price dynamics with predictability analysis
• A note on adaptation in garch models

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