Results 261 to 270 of about 15,849 (295)
Robust control chart for nonlinear conditionally heteroscedastic time series based on Huber support vector regression. [PDF]
PLoS OneKim CK, Yoon MH, Lee S.
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Two forecasting model selection methods based on time series image feature augmentation. [PDF]
Sci RepJiang W, Wang Q, Li H.
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Robust Inference of Dynamic Covariance Using Wishart Processes and Sequential Monte Carlo. [PDF]
Entropy (Basel)Huijsdens H +3 more
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Novel grey wolf optimizer based parameters selection for GARCH and ARIMA models for stock price prediction. [PDF]
PeerJ Comput SciBagalkot SS, A DH, Naik N.
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Fourier--type estimation of the power garch model with stable--paretian innovations
, 2012 Christian Francq, Simos G. Meintanis
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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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