Calibration of GARCH models using concurrent accelerated random search

DOI10.1016/J.AMC.2013.07.002zbMATH Open1329.91152OpenAlexW2075800952MaRDI QIDQ905332FDOQ905332

Authors: Juliane Müller, Juho Kanniainen, Robert Piché 

Publication date: 19 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.07.002

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zbMATH Keywords

financeGARCHoption pricingdistributed computingaccelerated random search

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Optimization by simulated annealing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• ARCH modeling in finance. A review of the theory and empirical evidence
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• Post-'87 crash fears in the S\&P 500 futures option market
• THE GARCH OPTION PRICING MODEL
• On Accelerated Random Search
• Thermodynamical approach to the travelling salesman problem: An efficient simulation algorithm
• Option valuation with conditional skewness
• Empirical martingale simulation for asset prices
• Mixture surrogate models based on Dempster-Shafer theory for global optimization problems
• Testing robustness in calibration of stochastic volatility models
• A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
• Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
• Global optimization of econometric functions.

Cited In (2)

• Optimizing the GARCH model -- an application of two global and two local search methods
• Using estimated gradients in bound-constrained global optimization

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