Results 221 to 227 of about 3,586 (227)

Robust estimates for GARCH models

Journal of Statistical Planning and Inference, 2008
Nora Muler, VÍCTOR J Yohai
exaly  

Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models

Expert Systems With Applications, 2018
Ha Young Kim
exaly  

Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models

Energy Economics, 2009
Paolo Agnolucci
exaly  

All in the family Nesting symmetric and asymmetric GARCH models

Journal of Financial Economics, 1995
exaly  

Multimodality in GARCH regression models

International Journal of Forecasting, 2008
Jürgen A Doornik, Marius Ooms
exaly  

Whittle Estimation of Multivariate GARCH models

The importance of modelling comovements of financial returns is well established in the literature. The knowledge of correlation structures is vital in many financial applications, including asset pricing, optimal portfolio allocation and risk management.
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Recent Development of Multivariate GARCH Models

国民経済雜誌, 2015
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