نتایج جستجو برای: keywords garch model

تعداد نتایج: 1851855  

2003
Jurgen A. Doornik, Marius Ooms,

Several aspects of GARCH(p, q) models that are relevant for empirical applications are investigated. In particular, it is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood. This invalidates standard inference on the estimated coefficients. Next, the implementation of different restrictions on the GARCH parameter space is considered. A re...

Journal: :Communications in Statistics - Theory and Methods 2015
N.Alemohammad, S.Rezakhah, S. H.Alizadeh,

Journal: :SSRN Electronic Journal 2012
Rasmus SøndergaardPedersen, AndersRahbek,

Journal: :Journal of Econometrics 2010
ChristianConrad,

Journal: :SSRN Electronic Journal 2000
Yiu KuenTse, Albert K.C.Tsui,

Journal: :Jurnal Matematika Integratif 2019
Didit BudiNugroho, BambangSusanto, Mince M. M.Rosely,

Journal: :Applied Mathematical Finance 2012
Robert J.Elliott, John W.Lau, HongMiao, TakKuen Siu,

Journal: :Journal of Physics: Conference Series 2013
TetsuyaTakaishi,

Journal: :Scandinavian Journal of Statistics 2015
AnneLeucht, Jens-PeterKreiss, Michael H.Neumann,

Journal: :Econometric Theory 2003
ShiqingLing, MichaelMcAleer,

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