A new estimator method for GARCH models

DOI10.1140/epjb/e2007-00191-6zbMath1189.91126OpenAlexW2011136621MaRDI QIDQ978796

E. R. Cazaroto, G. M. Favaro, 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)

Uses Software

• Maple
• Matlab
• RiskMetrics

Cites Work

• Unnamed Item
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Introduction to Econophysics
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY