نتایج جستجو برای: keywords garch model

تعداد نتایج: 1851870  

Journal: :International Journal of Pure and Apllied Mathematics 2017
K.Lee,

Journal: :IMA Journal of Management Mathematics 2007
Y.Feng, J.Beran, K.Yu,

Journal: :International Journal of Forecasting 2001
ChrisBrooks, Simon P.Burke, GitaPersand,

Journal: :Anesthesiology 2009
John D.Nachtigal, Mark A.Warner,

2005
Petra Posedel,

We study in depth the properties of the GARCH(1,1) model and the assumptions on the parameter space under which the process is stationary. In particular, we prove ergodicity and strong stationarity for the conditional variance (squared volatility) of the process. We show under which conditions higher order moments of the GARCH(1,1) process exist and conclude that GARCH processes are heavy-taile...

2015
Markku Lanne, Pentti Saikkonen,

The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly estimated by the method of maximum likelihood. Inefficient but computationally simple preliminary esti...

1997
Steven L. Heston, John M. Olin, Saikat Nandi,

This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH process. The single-factor (one-lag) version of this model contains Heston’s (1993) stochastic volatility model as a diffusion limit and therefo...

2000
C O Alexander, Carol Alexander,

During the last few years there have been many changes in the way that financial institutions model risk. New risk capital regulations have motivated a need for vertically integrated risk systems based on a unified framework throughout the whole office. If the risk exposures in all locations of a large institution are to be netted, the risk system must also be horizontally integrated and regula...

2013
Mamadou Lamine DIOP, Aliou DIOP, Abdou Ka DIONGUE,

Abstract. In this paper, we generalize the mixture integer-valued ARCH model (MINARCH) introduced by Zhu et al. (2010) to a mixture integer-valued GARCH (MINGARCH) for modeling time series of counts. This model include the ability to take into account the moving average (MA) components of the series. We give the necessary and sufficient first and second order stationarity conditions. The estima...

2006
Christian M. Hafner, Arie Preminger,

This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and βmixing with exponential decay rates are established. These conditions allow for volatility spill-over and integrated GARCH. We then show the strong consistency and asymptotic normality of the quasi-maximum likelihood estim...

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