Convergence of heuristic-based estimators of the GARCH model

DOI10.1007/978-3-642-30278-7_13MaRDI QIDQ2829650zbMATH OpenOpenAlexFDO

Authors Alexandru Mandes, Cristian Gatu, Peter Winker

Publication date 8 November 2016

Published in Towards Advanced Data Analysis by Combining Soft Computing and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-30278-7_13

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Generalized autoregressive conditional heteroscedasticity
• Optimization heuristics in econometrics. Applications of threshold accepting
• Portfolio management with heuristic optimization.
• The convergence of estimators based on heuristics: theory and application to a GARCH model

Cited in

(4)

• Statistical and computational tradeoff in genetic algorithm-based estimation
• scientific article; zbMATH DE number 2002583 (Why is no real title available?)
• The convergence of optimization based GARCH estimators: theory and application
• The convergence of estimators based on heuristics: theory and application to a GARCH model

Describes a project that uses

Uses Software

• FinTS

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