Results 301 to 310 of about 18,304 (313)
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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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Physics Bulletin, 1976
More and more of the world's power requirements are being met by nuclear energy released in fission processes involving heavy atomic nuclei. Nuclear energy can, however, also be derived from the thermonuclear fusion of light atomic nuclei; the energy of the sun, like that of most other stars, is generated in this way.
B. Roethlein, G. Zankl
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More and more of the world's power requirements are being met by nuclear energy released in fission processes involving heavy atomic nuclei. Nuclear energy can, however, also be derived from the thermonuclear fusion of light atomic nuclei; the energy of the sun, like that of most other stars, is generated in this way.
B. Roethlein, G. Zankl
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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 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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A tobit model with garch errors [PDF]
Econometric Reviews, 1998 In the context of time series regression, we extend the standard Tobit model to allow for the possibility of conditional heteroskedastic error processes of the GARCH type. We discuss the likelihood function of the Tobit model in the presence of conditionally heteroskedastic errors.
CALZOLARI, GIORGIO, FIORENTINI, GABRIELE
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REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
Journal of Applied Econometrics, 2014SUMMARYWe introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized measures extract information about the current levels of volatilities and correlations from high‐frequency data, which is particularly useful for modeling financial returns
Valeri Voev +3 more
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GARCH, Outliers, and Forecasting Volatility
2011The issue of detecting and handling outliers in GARCH processes has received considerable attention recently. In this chapter, we put forwardan iterative outlier detection procedure, which is appropriate given that in practice both the number of outliers as well as their timing is unknown. Our procedure aims to test for the presence of a single outlier
Dick van Dijk, Philip Hans Franses
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2006
A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate.
DE LUCA, GIOVANNI, LOPERFIDO N.
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A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate.
DE LUCA, GIOVANNI, LOPERFIDO N.
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