Results 41 to 50 of about 239,377 (84)
Symmetric Normal Mixture GARCH [PDF]
Normal mixture (NM) GARCH models are better able to account for leptokurtosis in financial data and offer a more intuitive and tractable framework for risk analysis and option pricing than student’s t-GARCH models.
Emese Lazar, Carol Alexandra
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, 2007 This paper investigates the forecasting ability of four different GARCH models and the Kalman filtermethod. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJRand the GARCH-X model. The paper also compares the forecasting ability
Wu, Hao, Choudhry, Taufiq
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Multimodality and the GARCH Likelihood [PDF]
We investigate several aspects of GARCH models which are relevant for empirical applications. In particular, we note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
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Asymmetric Multivariate Normal Mixture GARCH [PDF]
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed.
Markus Haas +2 more
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A Continuous Time GARCH Process of Higher Order [PDF]
, 2005 A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process. It extends many of the features of discrete time GARCH(p,q) processes to a continuous time setting.
Lindner, Alexander M. +2 more
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A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
, 2008 We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
García-Ferrer, Antonio +2 more
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Stock Market Integration: DCC MV-GARCH Model
In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark.
Mária Farkašovská +2 more
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Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange [PDF]
In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility.
Yilmaz, Tolgahan
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Seize the Moments: Approximating American Option Prices in the GARCH Framework [PDF]
This paper proposes an efficient approach to compute the prices of American style options in the GARCH framework. Rubinstein's (1998) Edgeworth tree idea is combined with the analytical formulas for moments of the cumulative return under GARCH developed ...
Caroline Sasseville +3 more
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Estimation of temporally aggregated multivariate GARCH models [PDF]
This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models.Since these are known to be only weak GARCH, the conditional variance of the aggregated ...
Hafner, C.M., Rombouts, J.V.K.
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