GARCH models. Structure, statistical inference and financial applications

DOI10.1002/9781119313472zbMATH Open1431.62004OpenAlexW4254913624MaRDI QIDQ5222822FDOQ5222822

Jean-Michel Zakoïan, C. Francq

Publication date: 3 July 2019

Full work available at URL: https://doi.org/10.1002/9781119313472

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zbMATH Keywords

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (only showing first 100 items - show all)

• Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations
• Title not available (Why is that?)
• 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
• 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
• Recursive Estimation of GARCH Models
• Estimating GARCH models using support vector machines*
• Forecasting of global market prices of major financial instruments
• Multivariate count autoregression
• Statistical inference for autoregressive models under heteroscedasticity of unknown form
• Portmanteau test for a class of multivariate asymmetric power GARCH model
• Estimating FARIMA models with uncorrelated but non-independent error terms
• GARCH model selection criteria
• Periodic autoregressive conditional duration
• Testing conditional heteroscedasticity with systematic sampling of time series
• Absolute regularity of semi-contractive GARCH-type processes
• Practical Issues in the Analysis of Univariate GARCH Models
• Consistent model selection criteria and goodness-of-fit test for common time series models
• High-dimensional VAR with low-rank transition
• Fitting the variance-gamma model to financial data
• 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
• Unfolded GARCH models
• Sequential change point test in the presence of outliers: the density power divergence based approach
• Conditional asymmetry in power ARCH\((\infty)\) models
• Volatility GARCH models with the ordered weighted average (OWA) operators
• A Skellam GARCH model
• Bayesian analysis of periodic asymmetric power GARCH models
• 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
• Prediction of time series by statistical learning: general losses and fast rates
• M-estimate for the stationary hyperbolic GARCH models
• A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
• COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
• Title not available (Why is that?)
• Integer‐valued asymmetric garch modeling
• A note on the QMLE limit theory in the non-stationary ARCH(1) model
• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
• Title not available (Why is that?)
• Virtual historical simulation for estimating the conditional VaR of large portfolios
• Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation
• METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS
• The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
• Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
• Functional ARCH and GARCH models: a Yule-Walker approach
• The story of GARCH: a personal odyssey
• Robust bootstrap forecast densities for GARCH returns and volatilities
• Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports
• Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models
• Commercial and residential mortgage defaults: spatial dependence with frailty
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• Oracally efficient estimation and testing for an ARCH model with trend
• Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
• CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH
• 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
• 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
• 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
• Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
• Bootstrap prediction intervals for autoregressive conditional duration models
• Understanding relationships with the aggregate zonal imbalance using copulas
• 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
• Posterior consistency for the spectral density of non‐Gaussian stationary time series
• On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models
• 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
• Optimal estimating function for weak location‐scale dynamic models
• Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
• Title not available (Why is that?)
• Estimating weak periodic vector autoregressive time series
• Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
• On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
• Autoregressive conditional betas
• High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• Efficient and consistent model selection procedures for time series
• 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

Uses Software

• R

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