Analytical derivates of the APARCH model

DOI10.1023/B:CSEM.0000038851.72226.76MaRDI QIDQ1768382zbMATH OpenFDO

Authors Sébastien Laurent

Publication date 15 March 2005

Published in Computational Economics (Search for Journal in Brave)

zbMATH Keywords

analytical scoreAPARCHasymmetric power ARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(9)

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• A Student-\(t\) full factor multivariate GARCH model
• Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis
• Efficient estimation of copula-GARCH models
• Simulation and Estimation of the Meixner Distribution
• Tail behavior and dependence structure in the APARCH model
• Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
• On valuing participating life insurance contracts with conditional heteroscedasticity
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