Self-weighted recursive estimation of GARCH models

DOI10.1080/03610918.2015.1053924MaRDI QIDQ4563409zbMATH OpenOpenAlexFDO

Authors Tomáš Cipra, Radek Hendrych

Publication date 1 June 2018

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1053924

zbMATH Keywords

GARCHrecursive estimationvolatilityon-line estimationhigh-frequency time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• Recursive Estimation of GARCH Models
• Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
• Robust recursive estimation of GARCH models.
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• M-ESTIMATION IN GARCH MODELS
• A new estimator method for GARCH models
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
• GARCH processes: structure and estimation

Cites work

• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 44386 (Why is no real title available?)
• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• An introduction to analysis of financial data with R.
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Generalized autoregressive conditional heteroscedasticity
• Nonlinear time series. Nonparametric and parametric methods
• Real time estimation of stochastic volatility processes
• Recursive Estimation of GARCH Models
• Statistics of financial markets. An introduction.

Cited in

(4)

• Narrow big data in a stream: computational limitations and regression
• Recursive Estimation of GARCH Models
• Socle finiteness of the local cohomology
• Real time estimation of stochastic volatility processes

Describes a project that uses

Uses Software

• tseries
• EViews

This page was built for publication: Self-weighted recursive estimation of GARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4563409)