Results 271 to 280 of about 16,252 (305)

Dynamic Factor Multivariate GARCH Model

SSRN Electronic Journal, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
André Alves Portela Santos, Guilherme V. Moura   +1 more
openaire   +1 more source

THE GARCH OPTION PRICING MODEL

Mathematical Finance, 1995
This article develops an option pricing model and its corresponding delta formula in the context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return process. the development utilizes the locally risk‐neutral valuation relationship (LRNVR).
openaire   +2 more sources

Coupled GARCH(1,1) model

Quantitative Finance, 2023
Huasheng Nie, Waelbroeck, Henri
openaire   +1 more source

Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study

2010
Modeling volatility and co-volatility of a few zero-coupon bonds is a fundamental element in the field of fix-income risk evaluation. Multivariate GARCH model (MGARCH), an extension of the well-known univariate GARCH, is one of the most useful tools in modeling the co-movement of multivariate time series with time-varying covariance matrix. Grounded on
Yiyu Huang, Wenjing Su, Xiang Li 0033
openaire   +1 more source

Identification of long memory in GARCH models

Statistical Methods and Applications, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

A Skew-in-Mean GARCH Model

2004
DE LUCA, GIOVANNI, LOPERFIDO N.
openaire   +3 more sources

Option pricing with conditional GARCH models

European Journal of Operational Research, 2021
Marcos Escobar-Anel, Lars Stentoft
exaly  

The Skew-t Garch Model

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.
openaire   +2 more sources

Cryptocurrencies Intraday High-Frequency Volatility Spillover Effects Using Univariate and Multivariate GARCH Models

International Journal of Financial Studies, 2022
Apostolos Ampountolas
exaly  

Stacking hybrid GARCH models for forecasting Bitcoin volatility

Expert Systems With Applications, 2021
Serkan Aras
exaly