๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Fractionally integrated time varying GARCH model

โœ Scribed by Adnen Ben Nasr; Mohamed Boutahar; Abdelwahed Trabelsi

Book ID
106302049
Publisher
Springer
Year
2010
Tongue
English
Weight
481 KB
Volume
19
Category
Article
ISSN
1613-981X

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Time-Varying Fractionally Integrated Pro
Time-Varying Fractionally Integrated Processes with
โœ Kristina Bruลพaitฤ—; Donatas Surgailis; Marijus Vaiฤiulis ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Springer Netherlands ๐ŸŒ English โš– 506 KB
Optimal hedging with a regime-switching
Optimal hedging with a regime-switching time-varying correlation GARCH model
โœ Hsiang-Tai Lee; Jonathan Yoder ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 307 KB

## Abstract The authors develop a Markov regimeโ€switching timeโ€varying correlation generalized autoregressive conditional heteroscedasticity (RSโ€TVC GARCH) model for estimating optimal hedge ratios. The RSโ€TVC nests within it both the timeโ€varying correlation GARCH (TVC) and the constant correlatio