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Journal of Econometrics, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stefan Lundbergh, Timo Teräsvirta
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Journal of Financial Econometrics, 2006
This article develops the dynamic asymmetric GARCH (or DAGARCH) model that generalizes asymmetric GARCH models such as that of Glosten, Jagannathan, and Runkle (GJR), introduces multiple thresholds, and makes the asymmetric effect time dependent. We provide the stationarity conditions for the DAGARCH model and show how GJR can be obtained as a special ...
CAPORIN, MASSIMILIANO, M. MCALEER
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This article develops the dynamic asymmetric GARCH (or DAGARCH) model that generalizes asymmetric GARCH models such as that of Glosten, Jagannathan, and Runkle (GJR), introduces multiple thresholds, and makes the asymmetric effect time dependent. We provide the stationarity conditions for the DAGARCH model and show how GJR can be obtained as a special ...
CAPORIN, MASSIMILIANO, M. MCALEER
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GO‐GARCH: a multivariate generalized orthogonal GARCH model
Journal of Applied Econometrics, 2002AbstractMultivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of generality. A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be parameterized with a fairly large degree of freedom while ...
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Quantitative Finance, 2004
This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH(1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or discrete context.
Alireza Javaheri +2 more
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This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH(1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or discrete context.
Alireza Javaheri +2 more
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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.
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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.
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Journal of Time Series Analysis, 2006
Abstract. An integer‐valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer‐valued GARCH process is a standard autoregressive moving ...
Ferland, René +2 more
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Abstract. An integer‐valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer‐valued GARCH process is a standard autoregressive moving ...
Ferland, René +2 more
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Journal of Empirical Finance, 2019
There is strong empirical evidence that the GARCH estimates obtained from panels of financial time series cluster. In order to capture this empirical regularity, this paper introduces the Hierarchical GARCH (HG) model. The HG is a nonlinear panel specification in which the coefficients of each series are modeled as a function of observed series ...
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There is strong empirical evidence that the GARCH estimates obtained from panels of financial time series cluster. In order to capture this empirical regularity, this paper introduces the Hierarchical GARCH (HG) model. The HG is a nonlinear panel specification in which the coefficients of each series are modeled as a function of observed series ...
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Varying Coefficient GARCH Models
2009This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. We consider varying–coefficient parametric models, such as ARCH and GARCH, whose coefficients may arbitrarily vary with time.
Cizek, P., Spokoiny, V.
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2013
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