Results 251 to 260 of about 751,692 (303)
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Journal of Time Series Analysis, 1984
Abstract.This paper considers the class of ARMA models with ARCH errors. Maximum Likelihood and Least Squares estimates of the parameters of the model and their covariance matrices are noted and incorporated into techniques for model building based upon the application of the usual Box‐Jenkins methodology of identification, estimation and diagnostic ...
Andrew A Weiss
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Abstract.This paper considers the class of ARMA models with ARCH errors. Maximum Likelihood and Least Squares estimates of the parameters of the model and their covariance matrices are noted and incorporated into techniques for model building based upon the application of the usual Box‐Jenkins methodology of identification, estimation and diagnostic ...
Andrew A Weiss
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Option Pricing in ARCH-type Models
Mathematical Finance, 1998ARCH models have become popular for modeling financial time series. They seem, at first, however, to be incompatible with the option pricing approach of Black, Scholes, Merton et al., because they are discrete‐time models and possess too much variability.
Jan Kallsen, Murad S Taqqu
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Selecting the order of an ARCH model [PDF]
Economics Letters, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Anthony W. Hughes +2 more
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Lithuanian Mathematical Journal, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Leipus, R., Viano, M.-C.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Leipus, R., Viano, M.-C.
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A Class of Nonlinear Arch Models
International Economic Review, 1992Summary: A class of nonlinear ARCH models is suggested. The proposed class encompasses several functional forms of ARCH which have been put forth in the literature. A Lagrange multiplier test is developed to test \textit{R. F. Engle's} ARCH specification [Econometrica 50, 987-1007 (1982; Zbl 0491.62099)] against a wider class of models.
Higgins, Matthew L, Bera, Anil K
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The Digital Arch Model reconsidered
Trends in Ecology & Evolution, 2002According to the Digital Arch Model (DAM), all limb bones are derived from a single cell condensation process. First, the condensation of one proximal bone is formed (humerus in the arm, and femur in the leg), which subsequently branches to form two bones (ulna and radius in the arm, and tibia and fibula in the leg). The digits then branch off from the
Galis, F., Sinervo, B., Metz, J.A.J.
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The Review of Economic Studies, 1995
Summary: We introduce a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models, but avoids some of their criticisms.
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Summary: We introduce a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models, but avoids some of their criticisms.
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