scientific article; zbMATH DE number 1820665
From MaRDI portal
Publication:4779802
zbMATH Open1037.91080MaRDI QIDQ4779802FDOQ4779802
Authors: Ruey S. Tsay 
Publication date: 27 October 2002
Title of this publication is not available (Why is that?)
Recommendations
MCMCtime seriesfinanceoptionsvolatilitydiffusionVARMAVaRco-integrationextremeheavy tailedmultiple assets
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Cited In (only showing first 100 items - show all)
- PID: a PDF-induced distance based on permutation cross-distribution entropy
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
- Statistical analysis of financial time series under the assumption of local stationarity
- A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
- Nonlinear time series analysis since 1990: Some personal reflections
- Reconstructing nonlinear structure in regression residuals
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Wavelet-M-estimation for time-varying coefficient time series models
- A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data
- Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
- Linear models and time-series analysis. Regression, ANOVA, ARMA and GARCH
- Parameter estimation of an agent-based stock price model
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Simulated maximum likelihood in autoregressive models with stochastic volatility errors
- On sequential confidence interval in a stationary Gaussian process
- A linearly distributed lag estimator with \(r\)-convex coefficients
- A time series approach to option pricing. Models, methods and empirical performances
- Modelling Poisson marked point processes using bivariate mixture transition distributions
- Mixture Gaussian time series modeling of long-term market returns
- Title not available (Why is that?)
- Optimization of portfolio compositions for small and medium price-taking traders
- Title not available (Why is that?)
- A review of INMA integer-valued model class, application and further development
- Time-varying vector autoregressive models with stochastic volatility
- On the interday homogeneity in the intraday rate of trading
- Title not available (Why is that?)
- Analysis of financial time series with binary \(n\)-grams frequency dictionaries
- Joint modeling of correlated time durations and their marks using a Weibull-Poisson marked point process mixture models
- Identifying and responding to outlier demand in revenue management
- Stochastic flows and finite block frames
- Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
- A Time-Series Analysis of Corporate Payout Policies
- Time averaging, ageing and delay analysis of financial time series
- Statistical analysis of a class of factor time series models
- Measuring the efficiency of the intraday Forex market with a universal data compression algorithm
- A Bayesian analysis of moving average processes with time-varying parameters
- Goodness-of-fit tests for vector autoregressive models in time series
- On the Strong Consistency of the Kernel Estimator of Extreme Conditional Quantiles
- Bimodal Birnbaum-Saunders generalized autoregressive score model
- Title not available (Why is that?)
- Statistical estimation errors of VaR under ARCH returns
- Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans
- On a Mixture GARCH Time-Series Model
- Support vector machine as an efficient framework for stock market volatility forecasting
- Indexation and causation of financial markets. Nonstationary time series analysis method
- Trending time-varying coefficient time series models with serially correlated errors
- A note on parameter estimation of panel vector autoregressive models with intercorrelation
- Correlation and the time interval in multiple regression models
- Estimating the integrated volatility with tick observations
- A stochastic volatility model with flexible extremal dependence structure
- Minimum alpha-divergence estimation for arch models
- Penalized spline estimation for functional coefficient regression models
- A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
- Robust artificial neural networks for pricing of European options
- Forecasting with univariate TAR models
- Generalized R-estimators under conditional heteroscedasticity
- Double barrier option under regime-switching exponential mean-reverting process
- Testing multivariate distributions in GARCH models
- An XML-based schema for stochastic programs
- Estimation and test of jump discontinuities in varying coefficient models with empirical applications
- Asymptotics of rank order statistics for ARCH residual empirical processes.
- Multivariate time series analysis. With R and financial applications
- Empirical likelihood inference for partially time-varying coefficient errors-in-variables models
- Discrete time series, processes, and applications in finance.
- The structure of dynamic correlations in multivariate stochastic volatility models
- Evaluating financial time series models for irregularly spaced data: a spectral density approach
- The economic value of volatility timing using a range-based volatility model
- Fuzzy coefficient volatility (FCV) models with applications
- Analysis of financial time series
- Conditional VaR estimation using Pearson's type IV distribution
- Bootstrap prediction for returns and volatilities in GARCH models
- The Birnbaum-Saunders autoregressive conditional duration model
- Wavelet estimation in time-varying coefficient models
- Analysis of compound bullwhip effect causes
- On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
- Asset price dynamics, volatility, and prediction.
- Time series in economics and finance
- A genetic estimation algorithm for parameters of stochastic ordinary differential equations
- Maximum likelihood estimation of the double exponential jump-diffusion process
- Title not available (Why is that?)
- Time-varying autoregressive conditional duration model
- Quantitative methods for portfolio analysis. MTV model approach
- Diagnostic checking for conditional heteroscedasticity models
- On kernel smoothing for extremal quantile regression
- Title not available (Why is that?)
- Goodness-of-fit testing under long memory
- A family of autoregressive conditional duration models applied to financial data
- Analysis of Financial Time Series
- Multivariate stochastic volatility with Bayesian dynamic linear models
- Impact of plant utilization on irreversible investment under uncertainty with application to refinery investment
- Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
- Statistical inference in partially time-varying coefficient models
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
- Testing for intercept-scale switch in linear autoregression
- An introduction to analysis of financial data with R.
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
- Extending the volatility concept to point processes
- Temporal aggregation of equity return time-series models
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4779802)
