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