Varying Coefficient GARCH Models

DOI10.1007/978-3-540-71297-8_7MaRDI QIDQ3646953zbMATH OpenOpenAlexFDO

Authors P. Čížek, V. G. Spokoiny

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_7

zbMATH Keywords

conditional heteroscedasticityglobal parametric modellocally adaptive volatilitynonparametric estimationsmooth transition model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(31)

• Multiscale local change point detection with applications to value-at-risk
• Bayesian estimation of smooth transition GARCH model using Gibbs sampling
• Bayesian estimation of smoothly mixing time-varying parameter GARCH models
• Unfolded GARCH models
• The time-varying GARCH-in-mean model
• Statistical inference for time-inhomogeneous volatility models.
• Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
• Forecasting volatility with time-varying coefficient regressions
• GARCH modelling of covariance in dynamical estimation of inverse solutions
• Forecasting volatility
• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
• Tree-structured generalized autoregressive conditional heteroscedastic models
• Semi-parametric estimation and forecasting for exogenous log-GARCH models
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
• Modeling nonstationary and leptokurtic financial time series
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• A component GARCH model with time varying weights
• Statistical analysis of financial time series under the assumption of local stationarity
• scientific article; zbMATH DE number 1927186 (Why is no real title available?)
• GARCH with omitted persistent covariate
• The estimation of time varying volatility based on the long stock return series with its application
• Non-stationary non-parametric volatility model
• Functional-coefficient regression models with GARCH errors
• Two-step estimation for time varying ARCH models
• Volatility clustering in the presence of time-varying model parameters
• Nonparametric estimation of a time-varying GARCH model
• GARCH Model Estimation Using Estimated Quadratic Variation
• Dynamic conditional eigenvalue GARCH
• Nonparametric volatility prediction
• Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model
• Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models

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