Real time estimation of stochastic volatility processes

DOI10.1007/S10479-011-0976-2MaRDI QIDQ1931658zbMATH OpenOpenAlexFDO

Authors László Gerencsér, Zsanett Orlovits

Publication date 15 January 2013

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-011-0976-2

zbMATH Keywords

recursive estimationfinancial time seriesstochastic volatilityMarkovian dynamicsGARCH processes

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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• Recursive Estimation of GARCH Models
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Cites work

• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 3958501 (Why is no real title available?)
• scientific article; zbMATH DE number 48727 (Why is no real title available?)
• A Representation Theorem for the Error of Recursive Estimators
• A recursive online algorithm for the estimation of time-varying ARCH parameters
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• New bounds for positive roots of polynomials
• Non-negative matrices and Markov chains.
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Rate of Convergence of Recursive Estimators
• Recursive Estimation of GARCH Models
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• Stationarity of GARCH processes and of some nonnegative time series
• Stochastic approximation methods for constrained and unconstrained systems
• \(L_q\)-stability of products of block-triangular stationary random matrices

Cited in

(6)

• On a real-time scheme for the estimation of volatility
• A simulation study on the Markov regime-switching zero-drift GARCH model
• Long memory and regime switching in the stochastic volatility modelling
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Self-weighted recursive estimation of GARCH models
• A recursive online algorithm for the estimation of time-varying ARCH parameters

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