An introduction to volatility models with indices

DOI10.1016/J.AML.2006.04.001MaRDI QIDQ868010zbMATHOpenAlexFDO

Authors A. Thavaneswaran, Shelton Peiris

Publication date 19 February 2007

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2006.04.001

zbMATH Keywords

momentscorrelationtime seriesGARCHindexkurtosisautoregressionfrequencyspectrumARCHmoving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• scientific article; zbMATH DE number 1865388
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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• An introduction to generalized moving average models and applications
• Forecasting volatility
• Fractional differencing
• Generalized autoregressive conditional heteroscedasticity
• Improving the quality of forecasting using generalized AR models: an application to statistical quality control
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS

Cited in

(8)

• An Overview of the Determinants of Financial Volatility: An Explanation of Measuring Techniques
• On properties of the second order generalized autoregressive GAR(2) model with index
• Handbook of Volatility Models and Their Applications
• Fractionally differenced Gegenbauer processes with long memory: a review
• Time series properties of the class of generalized first-order autoregressive processes with moving average errors
• Approximate asymptotic variance-covariance matrix for the Whittle estimators of GAR(1) parameters
• On the vector-valued generalized autoregressive models
• Asymptotic theory for near integrated processes driven by tempered linear processes

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