✦ LIBER ✦

A time varying GARCH(p,q) model and related statistical inference

✍ Scribed by Rohan, Neelabh

Book ID: 121905512
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 493 KB
Volume: 83
Category: Article
ISSN: 0167-7152
DOI: 10.1016/j.spl.2013.04.030

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

GARCH Models (Structure, Statistical Inf

GARCH Models (Structure, Statistical Inference and Financial Applications) || GARCH( p, q ) Processes

✍ Francq, Christian; Zakoïan, Jean-Michel 📂 Article 📅 2010 🏛 John Wiley & Sons, Ltd ⚖ 798 KB

GARCH Models (Structure, Statistical Inf

GARCH Models (Structure, Statistical Inference and Financial Applications) || Classical Time Series Models and Financial Series

✍ Francq, Christian; Zakoïan, Jean-Michel 📂 Article 📅 2010 🏛 John Wiley & Sons, Ltd 🌐 English ⚖ 602 KB

Optimal hedging with a regime-switching

Optimal hedging with a regime-switching time-varying correlation GARCH model

✍ Hsiang-Tai Lee; Jonathan Yoder 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 307 KB

## Abstract The authors develop a Markov regime‐switching time‐varying correlation generalized autoregressive conditional heteroscedasticity (RS‐TVC GARCH) model for estimating optimal hedge ratios. The RS‐TVC nests within it both the time‐varying correlation GARCH (TVC) and the constant correlatio

The time-varying correlation between unc

The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

✍ Paul M. Jones; Eric Olson 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 379 KB

Statistical Inference for a Random Coeff

Statistical Inference for a Random Coefficient Autoregressive Model

✍ P. M. Robinson 📂 Article 📅 1978 🏛 John Wiley and Sons 🌐 English ⚖ 646 KB

Ion Channel Gating and Time Interval Omi

Ion Channel Gating and Time Interval Omission: Statistical Inference for a Two-State Markov Model

✍ Ball, F. G.; Davies, S. S.; Sansom, M. S. P. 📂 Article 📅 1994 🏛 The Royal Society 🌐 English ⚖ 940 KB