搜索结果: 1-7 共查到“GARCH Models”相关记录7条 . 查询时间(0.062 秒)
Weighted bootstrap in GARCH models
asymptotic distribution bootstrap confidence region,GARCH model quasi maximum likelihood
2012/11/22
GARCH models are useful tools in the investigation of phenomena, where volatility changes are prominent features, like most financial data. The parameter estimation via quasi maximum likelihood (QMLE)...
Non-Gaussian Quasi Maximum Likelihood Estimation of GARCH Models
Non-Gaussian Quasi Maximum Likelihood Estimation GARCH Models
2010/3/9
The non-Gaussian quasi maximum likelihood estimator is frequently used
in GARCH models with intension to improve the efficiency of the GARCH
parameters. However, the method is usually inconsistent u...
THE MODIFIED TEMPERED STABLE DISTRIBUTION, GARCH MODELS AND OPTION PRICING
Option pricing GARCH process tempered stable distribution volatility clustering
2009/9/18
We introduce a new variant of the tempered stable distribution,
named the modified tempered stable (MTS) distribution and we develop
a GARCH option pricing model with MTS innovations. This model
al...
Detecting for Smooth Structural Changes in GARCH Models
GARCH Local smoothing Parameter constancy QMLE Smooth structural change
2011/4/2
Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in...
Comparison of MCMC Methods for Estimating GARCH Models
Bayesian inference GARCH Gibbs sampler Markov chain Monte Carlo Metropolis-Hastings algorithm
2009/3/6
This paper reviews several MCMC methods for estimating the class of ARCH models, and compare performances of them. With respect to the mixing, efficiency and computational requirement of the MCMC, thi...
Bayesian inference with an adaptive proposal density for GARCH models
Bayesian inference adaptive proposal GARCH models
2010/11/2
We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student’s t-distribution a...
ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns
ARCH GARCH Models Martingale Volatility Finance Market Returns
2010/12/17
ARCH and GARCH models assume either i.i.d. or (what economists lable as) white noise as is usual in regression analysis while assuming memory in a conditional mean square fluctuation with stationary ...