نتایج جستجو برای: keywords garch model

تعداد نتایج: 1851855  

Journal: :Journal of English Linguistics 2004
PaulBaker,

Journal: :Computational Statistics & Data Analysis 2007
María ConcepciónAusín, PedroGaleano,

Journal: :SSRN Electronic Journal 2021
ChristianConrad, Robert F.Engle,

Journal: :Financial Assets and Investing 2015
AlešKresta,

Journal: :Asia-Pacific Financial Markets 2005
QingfengLiu, KimioMorimune,

2013
John W. Galbraith,

We consider estimates of the parameters of GARCH models obtained using auxiliary information on latent variance which may be available from higher-frequency data, for example from an estimate of the daily quadratic variation such as the realized variance. We obtain consistent estimates of the parameters of the infinite ARCH representation via a regression using the estimated quadratic variation...

Journal: :IMA Journal of Management Mathematics 2018
Zryan ASadik, Paresh MDate, GautamMitra,

Journal: :Afrika statistika 2018
Mamadou LamineDiop, AliouDiop, Abdou KâDiongue,

Journal: :SSRN Electronic Journal 2007
LucBauwens, GiuseppeStorti,

Journal: :Computers & Mathematics with Applications 2008
M. Ghahramani, A. Thavaneswaran,

Financial returns are often modeled as autoregressive time series with innovations having conditional heteroscedastic variances, especially with GARCH processes. The conditional distribution in GARCH models is assumed to follow a parametric distribution. Typically, this error distribution is selected without justification. In this paper, we have applied the results of Thavaneswaran and Ghahrama...

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