A new estimator method for GARCH models

DOI10.1140/EPJB/E2007-00191-6MaRDI QIDQ978796zbMATH OpenOpenAlexFDO

Authors G. M. Favaro, E. R. Cazaroto, Roberto N. Onody

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

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Statistical methods; economic indices and measures (91B82)

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Cites work

• A modified GARCH model with spells of shocks
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Introduction to Econophysics
• Modeling the changing asymmetry of conditional variances
• Prediction in dynamic models with time-dependent conditional variances
• 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

Cited in

(12)

• M-estimate for the stationary hyperbolic GARCH models
• Estimating weak GARCH representations
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• Recursive Estimation of GARCH Models
• M-ESTIMATION IN GARCH MODELS
• A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH
• Self-weighted recursive estimation of GARCH models
• Estimating GARCH models using support vector machines*
• A new approach to Value-at-Risk: GARCH-TSLx model with inference
• A new GJR‐GARCH model for ℤ‐valued time series
• Si-GARCH: Construction and validation of a new method for the detection of breaking points in models
• GARCH Model Estimation Using Estimated Quadratic Variation

Describes a project that uses

Uses Software

• Maple
• Matlab
• RiskMetrics

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