A data-dependent approach to modeling volatility in financial time series
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Publication:2347550
DOI10.1007/s13571-014-0094-7zbMath1312.62132MaRDI QIDQ2347550
Ashis K. Gangopadhyay, Jianing Di
Publication date: 28 May 2015
Published in: Sankhyā. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13571-014-0094-7
random models; asymmetric GARCH; dynamic volatility; self-adjusting; local cross-correlation; time-varying asymmetry
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
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