The convergence of optimization based GARCH estimators: theory and application

DOI10.1007/978-3-7908-1709-6_39MaRDI QIDQ3298636zbMATH OpenOpenAlexFDO

Authors Peter Winker, Dietmar G. Maringer

Publication date 15 July 2020

Published in Compstat 2006 - Proceedings in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-1709-6_39

zbMATH Keywords

convergenceGARCHoptimization heuristicsthreshold accepting

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
• scientific article; zbMATH DE number 1211747 (Why is no real title available?)
• On the accuracy of statistical procedures in Microsoft Excel 2003
• On the convergence of ``threshold accepting
• Optimization heuristics in econometrics. Applications of threshold accepting
• Portfolio management with heuristic optimization.
• Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing

Cited in

(4)

• Convergence of heuristic-based estimators of the GARCH model
• Optimizing the GARCH model -- an application of two global and two local search methods
• Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
• The convergence of estimators based on heuristics: theory and application to a GARCH model

Describes a project that uses

Uses Software

• JMulTi
• Excel

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