A new estimator method for GARCH models
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Publication:978796
DOI10.1140/EPJB/E2007-00191-6zbMATH Open1189.91126OpenAlexW2011136621MaRDI QIDQ978796FDOQ978796
E. R. Cazaroto, Roberto N. Onody, G. M. Favaro
Publication date: 25 June 2010
Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1140/epjb/e2007-00191-6
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Statistical methods; economic indices and measures (91B82) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Title not available (Why is that?)
- Introduction to Econophysics
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- Theory of Financial Risk and Derivative Pricing
- Modeling the changing asymmetry of conditional variances
- A modified GARCH model with spells of shocks
- Prediction in dynamic models with time-dependent conditional variances
Cited In (12)
- Estimating weak GARCH representations
- A new GJR‐GARCH model for ℤ‐valued time series
- Recursive Estimation of GARCH Models
- Estimating GARCH models using support vector machines*
- M-ESTIMATION IN GARCH MODELS
- A new approach to Value-at-Risk: GARCH-TSLx model with inference
- RANK-BASED ESTIMATION FOR GARCH PROCESSES
- GARCH Model Estimation Using Estimated Quadratic Variation
- Self-weighted recursive estimation of GARCH models
- M-estimate for the stationary hyperbolic GARCH models
- A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH
- Si-GARCH: Construction and validation of a new method for the detection of breaking points in models
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