Calibration of GARCH models using concurrent accelerated random search

DOI10.1016/J.AMC.2013.07.002MaRDI QIDQ905332zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

financeGARCHoption pricingdistributed computingaccelerated random search

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3705806 (Why is no real title available?)
• scientific article; zbMATH DE number 3497315 (Why is no real title available?)
• A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Empirical martingale simulation for asset prices
• Generalized autoregressive conditional heteroscedasticity
• Global optimization of econometric functions.
• Mixture surrogate models based on Dempster-Shafer theory for global optimization problems
• On Accelerated Random Search
• Optimization by simulated annealing
• Option valuation with conditional skewness
• Post-'87 crash fears in the S\&P 500 futures option market
• Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
• THE GARCH OPTION PRICING MODEL
• Testing robustness in calibration of stochastic volatility models
• Thermodynamical approach to the travelling salesman problem: An efficient simulation algorithm

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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