Results 211 to 220 of about 38,888 (250)

Noising the GARCH Volatility: A Random Coefficient GARCH Model

Journal of Time Series Analysis
ABSTRACTThis paper proposes a noisy GARCH model with two volatility sequences (an unobserved and an observed/predictive one) and a stochastic time‐varying conditional kurtosis. The unobserved volatility equation, equipped with random coefficients, is a linear function of the past squared observations and of the past predictive volatility.
Abdelhakim Aknouche, Bader Almohaimeed, Stefanos Dimitrakopoulos   +2 more
openaire   +1 more source

?????????????????????????????? ???????????????????????? ???????????????? ?????????????????? ?????????????????????? ?????????????????? ?? ?????????????????????????? ???????????????????????????? ???? ???????????? ???????????????????? ?????????????? GARCH

2013
???????????????????? ?????????? ?????????????? ?????????????? GARCH ?????? ?????????????????????????? ???????????????????????? ?????????????? ?????????????????? ???????????????????????????? ???????????????????????????????????? ???????????????? ?????? ?????????????????????????? ?????????????? ?????????????? ?? ???????????? ?????????????????? ????????????
openaire   +1 more source

Viacrozmerný GARCH

2015
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence the integrated markets consist of stock markets in Frankfurt, Amsterdam, Prague the U.S.
openaire   +5 more sources

???????????? ?? ???????????????????? ?????????????????? ?????????????? GARCH ?????? ?????????????????????????????? ?????????????????? ???????????????????????????????????????? ?????????????????? ?? ?????????????????????????? ????????????????????????????

2010
?????????????????????? ?????????????????????????? ?????????????????? ???????????????????????????? ?????????????? GARCH ?????? ?????????????????????????????? ???????????????? ?????????????????? ???????????????????????????????????????? ?????????????????? ?????? ?????????????????????????? ?????????????? ???????????????????? ?? ???????????? ????????????????
openaire   +1 more source

TESTING GARCH VERSUS E-GARCH

Statistics and Finance, 2000
Ling, Shiqing, McAleer, M.
openaire   +1 more source

Estimating yield spreads volatility using GARCH-type models

North American Journal of Economics and Finance, 2021
Hojin Jung, Jong-Min Kim
exaly  

Persistence in Variance, Structural Change, and the GARCH Model

Journal of Business and Economic Statistics, 1990
William D Lastrapes
exaly  

Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?

International Review of Economics and Finance, 2019
Yue-Jun Zhang, Ling-Yun He
exaly  

Augmented GARCH (p,q) process and its diffusion limit

Journal of Econometrics, 1997
Jin-Chuan Duan
exaly  

Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model

Finance Research Letters, 2020
Zhongbao Zhou
exaly