Practical Issues in the Analysis of Univariate GARCH Models

DOI10.1007/978-3-540-71297-8_5MaRDI QIDQ3646951zbMATH OpenOpenAlexFDO

Authors Eric Zivot

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_5

zbMATH Keywords

asset returnestimationmaximum likelihoodunivariate GARCH

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Recommendations

• An Introduction to Univariate GARCH Models
• GARCH models. Structure, statistical inference and financial applications
• Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case
• On the parametrization of multivariate GARCH models
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• scientific article; zbMATH DE number 5990412
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
• The use of GARCH models in VaR estimation
• scientific article; zbMATH DE number 2185988

Cited in

(15)

• Dynamic factor multivariate GARCH model
• Sequentially adaptive Bayesian learning algorithms for inference and optimization
• Importance sampling from posterior distributions using copula-like approximations
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Estimation of flexible fuzzy GARCH models for conditional density estimation
• Outliers and misleading leverage effect in asymmetric GARCH-type models
• Capturing the spillover effect with multiplicative error models
• Functional generalized autoregressive conditional heteroskedasticity
• TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA
• Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
• On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
• Markov tail chains
• Detecting volatility persistence in GARCH models in the presence of the leverage effect
• THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
• TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS

Describes a project that uses

Uses Software

• FinTS

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