A new nonlinear formulation for GARCH models

DOI10.1016/J.CRMA.2013.02.014zbMATH Open1307.62212OpenAlexW1980229879MaRDI QIDQ2376629FDOQ2376629

Authors 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

Mathematics Subject Classification ID

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)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Time series analysis by state space methods

Cited in

(9)

• 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
• Non-negativity conditions for the hyperbolic GARCH model
• A new estimator method for GARCH models
• Non‐linear GARCH models for highly persistent volatility
• SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
• Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
• Forecasting price of financial market crash via a new nonlinear potential GARCH model
• A new GJR‐GARCH model for ℤ‐valued time series

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