A new nonlinear formulation for GARCH models
DOI10.1016/J.CRMA.2013.02.014zbMATH Open1307.62212OpenAlexW1980229879MaRDI QIDQ2376629FDOQ2376629
Natalia Bahamonde, Sebastian Ossandon
Publication date: 24 June 2013
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2013.02.014
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)
Cites Work
Cited In (9)
- Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
- A new GJR‐GARCH model for ℤ‐valued time series
- Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
- Quasi-maximum likelihood estimation of GARCH models in the presence of missing values
- A new estimator method for GARCH models
- Non‐linear GARCH models for highly persistent volatility
- Non-negativity conditions for the hyperbolic GARCH model
- SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
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