Data cloning estimation of GARCH and COGARCH models

DOI10.1080/00949655.2014.903948MaRDI QIDQ5220829zbMATH OpenOpenAlexFDO

Authors

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/17380

zbMATH Keywords

Bayesian inferenceCOGARCH modelcontinuous-time GARCH processdata cloningGARCH modelLévy processMCMC algorithm

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A continuous-time GARCH model for stochastic volatility with delay
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• A Markov-Chain Sampling Algorithm for GARCH Models
• A new look at the statistical model identification
• ARCH models as diffusion approximations
• Asymptotic nonequivalence of GARCH models and diffusions
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimability and Likelihood Inference for Generalized Linear Mixed Models Using Data Cloning
• Estimating the dimension of a model
• Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
• GARCH modelling in continuous time for irregularly spaced time series data
• GARCH models. Structure, statistical inference and financial applications
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5984103 (Why is no real title available?)
• Method of moment estimation in the COGARCH(1,1) model
• Option Pricing in ARCH-type Models
• Reconsidering the continuous time limit of the GARCH(1,1) process
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Weak approximation of stochastic delay differential equations with bounded memory by discrete time series.

Cited in

(2)

• Data cloning estimation for asymmetric stochastic volatility models
• Testing data cloning as the basis of an estimator for the stochastic volatility in mean model

Describes a project that uses

Uses Software

• JAGS
• TSA
• R
• runjags
• dclone

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