Results 271 to 280 of about 747,562 (306)
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Implied ARCH Models from Options Prices
Journal of Econometrics, 1992Abstract This paper estimates the implied stochastic process of the volatility of an asset from the prices of options written on the asset. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used to parameterize the process.
Robert F. Engle, Chowdhury Mustafa
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Shallow arch model. An asymptotic approach
Journal of Elasticity, 1996zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Pseudo‐likelihood estimation in ARCH models
Canadian Journal of Statistics, 2006AbstractThe author presents asymptotic results for the class of pseudo‐likelihood estimators in the autoregressive conditional heteroscedastic models introduced by Engle (1982). Unlike what is required for the quasi‐likelihood estimator, some estimators in the class he considers do not require the finiteness of the fourth moment of the error density ...
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ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models
2021The financial liberalization that began in the last quarter of the twentieth century caused sudden movements in the currencies and financial assets of the countries. These sudden movements are called volatility. Sudden price changes in financial assets made it difficult to predict the future and increased the risks of financial assets.
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1998
Since the introduction of autoregressive conditional heteroskedastic models (ARCH) by Engle (1982), an enormous boom has evolved in both theory and applications. It became obvious that a powerful model class was developed that copes with the most important feature of financial time series, namely conditional heteroskedasticity.
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Since the introduction of autoregressive conditional heteroskedastic models (ARCH) by Engle (1982), an enormous boom has evolved in both theory and applications. It became obvious that a powerful model class was developed that copes with the most important feature of financial time series, namely conditional heteroskedasticity.
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ESTIMATION DE WHITTLE DES MODELES ARCH
2014Le présent mémoire porte sur les travaux de Liuclas Giraitis et Peter M. Robinson (2001). Les estimateurs obtenus par la méthode de Whittle sont très importants, voire fondamentaux dans le cadre de l'estimation des séries temporelles. L'estimation de Whittle est appliquée au carré du processus ARCH qui est étudié, et qui peut être exprimé comme un ...
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2020
IV ÇOK DEĞİŞKENLİ ARCH MODELLER Hacer Özer Hacettepe Üniversitesi, İstatistik Bölümü, İstatistik Anabilim Dalı ÖZET Geleneksel zaman serisi modellerinde hata varyansının sabit (homoskedastik) olduğu varsayılır. Ancak çoğu zaman serisi verileri, özellikle de finansal zaman serisi verileri ile model tahmini yapılmak istendiğinde bu varsayım ...
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IV ÇOK DEĞİŞKENLİ ARCH MODELLER Hacer Özer Hacettepe Üniversitesi, İstatistik Bölümü, İstatistik Anabilim Dalı ÖZET Geleneksel zaman serisi modellerinde hata varyansının sabit (homoskedastik) olduğu varsayılır. Ancak çoğu zaman serisi verileri, özellikle de finansal zaman serisi verileri ile model tahmini yapılmak istendiğinde bu varsayım ...
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Stiffness of the human foot and evolution of the transverse arch
Nature, 2020Madhusudhan Venkadesan +2 more
exaly