GARCH models. Structure, statistical inference and financial applications
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stationarityoption pricingGARCH modelstatistical inferencestochastic volatilitydiscrete time modelmultivariate modelcontinuous time modelValue at Riskunivariate modelfinancial returnthreshold GARCH modelwhitenessasymmetric GARCH modelconditionally heteroscedastic modelexponential GARCH modelMarkov switching volatilityparameter-driven volatility
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(only showing first 100 items - show all)- Inference on GARCH-MIDAS models without any small-order moment
- Robust time series clustering of GARCH (1,1) models with outliers
- Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
- The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
- Functional ARCH and GARCH models: a Yule-Walker approach
- The story of GARCH: a personal odyssey
- Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports
- Robust bootstrap forecast densities for GARCH returns and volatilities
- Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
- Commercial and residential mortgage defaults: spatial dependence with frailty
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
- Dynamic currency hedging with non-Gaussianity and ambiguity
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
- Oracally efficient estimation and testing for an ARCH model with trend
- Data cloning estimation of GARCH and COGARCH models
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
- Dynamic partial correlation models
- On the correlation analysis of stocks with zero returns
- scientific article; zbMATH DE number 5733595 (Why is no real title available?)
- Two Cholesky-log-GARCH models for multivariate volatilities
- Jump detection in high-frequency financial data using wavelets
- The tail empirical process for long memory stochastic volatility models with leverage
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- A new GJR‐GARCH model for ℤ‐valued time series
- Asymmetric linear double autoregression
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- On portmanteau-type tests for nonlinear multivariate time series
- On score vector- and residual-based CUSUM tests in ARMA-GARCH models
- Exploring novel approaches for estimating fractional stochastic processes through practical applications
- Range-based risk measures and their applications
- QUANTILE DOUBLE AUTOREGRESSION
- Machine Learning Time Series Regressions With an Application to Nowcasting
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Forecasting of global market prices of major financial instruments
- Recursive Estimation of GARCH Models
- Estimating GARCH models using support vector machines*
- Bootstrap prediction intervals for autoregressive conditional duration models
- Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
- Multivariate count autoregression
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Count and duration time series with equal conditional stochastic and mean orders
- Understanding relationships with the aggregate zonal imbalance using copulas
- Location multiplicative error models with quasi maximum likelihood estimation
- Integer-valued asymmetric GARCH modeling
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
- Volatility Estimation When the Zero-Process is Nonstationary
- GARCH model selection criteria
- Periodic autoregressive conditional duration
- Posterior consistency for the spectral density of non‐Gaussian stationary time series
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Testing conditional heteroscedasticity with systematic sampling of time series
- Practical Issues in the Analysis of Univariate GARCH Models
- High-dimensional VAR with low-rank transition
- Absolute regularity of semi-contractive GARCH-type processes
- Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
- The \(\log\) GARCH stochastic volatility model
- A robust statistical approach to select adequate error distributions for financial returns
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Optimal estimating function for weak location‐scale dynamic models
- Fitting the variance-gamma model to financial data
- Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
- Estimating weak periodic vector autoregressive time series
- Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
- Goodness-of-fit tests for SPARMA models with dependent error terms
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- A factor-GARCH model for high dimensional volatilities
- Pseudo maximum likelihood estimation of the univariate GARCH(2,2) and asymptotic normality under dependent innovations
- Unfolded GARCH models
- Sequential change point test in the presence of outliers: the density power divergence based approach
- On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
- Autoregressive conditional betas
- High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
- Conditional asymmetry in power ARCH\((\infty)\) models
- Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
- A Skellam GARCH model
- Efficient and consistent model selection procedures for time series
- Volatility GARCH models with the ordered weighted average (OWA) operators
- Bayesian analysis of periodic asymmetric power GARCH models
- 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
- Existence of a periodic and seasonal INAR process
- Covariance prediction via convex optimization
- Empirical characteristic function tests for GARCH innovation distribution using multipliers
- A note on portmanteau tests for conditional heteroscedastistic models
- Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
- A dynamic conditional score model for the log correlation matrix
- Dynamic conditional eigenvalue GARCH
- Tail risk monotonicity in GARCH(1,1) models
- M-estimate for the stationary hyperbolic GARCH models
- LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS
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