An introduction to volatility models with indices
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Publication:868010
DOI10.1016/J.AML.2006.04.001zbMATH Open1104.62113OpenAlexW2112345366MaRDI QIDQ868010FDOQ868010
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
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Generalized autoregressive conditional heteroscedasticity
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- Fractional differencing
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- An introduction to generalized moving average models and applications
- Improving the quality of forecasting using generalized AR models: an application to statistical quality control
- Forecasting volatility
- LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
Cited In (8)
- Asymptotic theory for near integrated processes driven by tempered linear processes
- Fractionally differenced Gegenbauer processes with long memory: a review
- Approximate asymptotic variance-covariance matrix for the Whittle estimators of GAR(1) parameters
- Time series properties of the class of generalized first-order autoregressive processes with moving average errors
- On properties of the second order generalized autoregressive GAR(2) model with index
- Handbook of Volatility Models and Their Applications
- An Overview of the Determinants of Financial Volatility: An Explanation of Measuring Techniques
- On the vector-valued generalized autoregressive models
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