Rapid developments of time series models and methods addressing volatility in computational finance and econometrics have been recently reported in the financial literature. The non-linear volatility theory either extends and complements existing time series methodology by introducing more general s
β¦ LIBER β¦
GARCH-type Models with Generalized Secant Hyperbolic Innovations
β Scribed by Palmitesta, Paola; Provasi, Corrado
- Book ID
- 121840521
- Publisher
- The Berkeley Electronic Press,Walter de Gruyter GmbH & Co. KG
- Year
- 2004
- Tongue
- English
- Weight
- 303 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1081-1826
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
RCA models with GARCH innovations
β
A. Thavaneswaran; S.S. Appadoo; M. Ghahramani
π
Article
π
2009
π
Elsevier Science
π
English
β 393 KB
Doubly stochastic models with GARCH inno
β
S. Peiris; A. Thavaneswaran; S. Appadoo
π
Article
π
2011
π
Elsevier Science
π
English
β 225 KB
A rapid development of time series models and methods addressing volatility in computational finance and econometrics are recently reported in the financial literature. This paper considers doubly stochastic volatility models with GARCH errors. General properties for process mean, variance and kurto
Estimating GARCH-type models with symmet
β
Calzolari, Giorgio; Halbleib, Roxana; Parrini, Alessandro
π
Article
π
2014
π
Elsevier Science
π
English
β 449 KB
NMβQELE for ARMAβGARCH models with non-G
β
Jeongcheol Ha; Taewook Lee
π
Article
π
2011
π
Elsevier Science
π
English
β 263 KB
RCA model with quadratic GARCH innovatio
β
S.S. Appadoo; A. Thavaneswaran; S. Mandal
π
Article
π
2012
π
Elsevier Science
π
English
β 211 KB
Finite-sample bootstrap inference in GAR
β
Richard Luger
π
Article
π
2012
π
Elsevier Science
π
English
β 519 KB