GARCH models. Structure, statistical inference and financial applications
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Cited in
(only showing first 100 items - show all)- Unfolded GARCH models
- A note on the QMLE limit theory in the non-stationary ARCH(1) model
- A Skellam GARCH model
- Forecasting of global market prices of major financial instruments
- Sequential change point test in the presence of outliers: the density power divergence based approach
- M-estimate for the stationary hyperbolic GARCH models
- Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- Goodness-of-fit tests for SPARMA models with dependent error terms
- A factor-GARCH model for high dimensional volatilities
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- High-dimensional VAR with low-rank transition
- Functional ARCH and GARCH models: a Yule-Walker approach
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Multivariate count autoregression
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Commercial and residential mortgage defaults: spatial dependence with frailty
- On score vector- and residual-based CUSUM tests in ARMA-GARCH models
- The tail empirical process for long memory stochastic volatility models with leverage
- Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models
- A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
- On portmanteau-type tests for nonlinear multivariate time series
- Bayesian analysis of periodic asymmetric power GARCH models
- The story of GARCH: a personal odyssey
- Conditional asymmetry in power ARCH() models
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Recursive Estimation of GARCH Models
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- scientific article; zbMATH DE number 5733595 (Why is no real title available?)
- Practical Issues in the Analysis of Univariate GARCH Models
- Pseudo maximum likelihood estimation of the univariate GARCH(2,2) and asymptotic normality under dependent innovations
- Estimating GARCH models using support vector machines*
- GARCH model selection criteria
- The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
- Fitting the variance-gamma model to financial data
- Absolute regularity of semi-contractive GARCH-type processes
- Two Cholesky-log-GARCH models for multivariate volatilities
- Count and duration time series with equal conditional stochastic and mean orders
- Integer-valued asymmetric GARCH modeling
- Periodic autoregressive conditional duration
- LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS
- METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS
- The use of aggregate time series for testing conditional heteroscedasticity
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Oracally efficient estimation and testing for an ARCH model with trend
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
- Asymmetric linear double autoregression
- Stationarity and ergodicity of Markov switching positive conditional mean models
- A new GJR‐GARCH model for ℤ‐valued time series
- QUANTILE DOUBLE AUTOREGRESSION
- Empirical characteristic function tests for GARCH innovation distribution using multipliers
- Robust bootstrap forecast densities for GARCH returns and volatilities
- Bootstrap prediction intervals for autoregressive conditional duration models
- Location multiplicative error models with quasi maximum likelihood estimation
- On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
- A robust statistical approach to select adequate error distributions for financial returns
- Data cloning estimation of GARCH and COGARCH models
- scientific article; zbMATH DE number 6180013 (Why is no real title available?)
- Prediction of time series by statistical learning: general losses and fast rates
- scientific article; zbMATH DE number 5252499 (Why is no real title available?)
- On the geometric ergodicity of the mixture autoregressive model
- Jump detection in high-frequency financial data using wavelets
- A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
- Posterior consistency for the spectral density of non‐Gaussian stationary time series
- Covariance prediction via convex optimization
- Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Estimating weak periodic vector autoregressive time series
- Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
- Volatility GARCH models with the ordered weighted average (OWA) operators
- Dynamic conditional eigenvalue GARCH
- A dynamic conditional score model for the log correlation matrix
- Local linear regression with nonparametrically generated covariates for weakly dependent data
- GARCH density and functional forecasts
- Testing conditional heteroscedasticity with systematic sampling of time series
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
- Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Optimal estimating function for weak location‐scale dynamic models
- On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
- Autoregressive conditional betas
- Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
- Stochastic online convex optimization. Application to probabilistic time series forecasting
- A test for normality and independence based on characteristic function
- Estimación bayesiana de un Modelo Garch-M Bivariado
- Dynamic currency hedging with non-Gaussianity and ambiguity
- Dynamic partial correlation models
- On the correlation analysis of stocks with zero returns
- Exploring novel approaches for estimating fractional stochastic processes through practical applications
- Range-based risk measures and their applications
- Understanding relationships with the aggregate zonal imbalance using copulas
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