Stability of nonlinear AR-GARCH models

Stability of nonlinear AR-GARCH models

Εμφάνιση άλλων εκδόσεων (1)

This paper studies the stability of nonlinear autoregressive models with conditionality heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity (GARC...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς:	Meitz, M, Saikkonen, P
Μορφή:	Working paper
Έκδοση:	University of Oxford 2007

Παρόμοια τεκμήρια

Stability of nonlinear AR-GARCH models.
ανά: Meitz, M, κ.ά.
Έκδοση: (2007)

Parameter estimation in nonlinear AR-GARCH models
ανά: Meitz, M, κ.ά.
Έκδοση: (2008)

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.
ανά: Meitz, M, κ.ά.
Έκδοση: (2007)

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
ανά: Meitz, M, κ.ά.
Έκδοση: (2007)

Structure and asymptotic theory for nonlinear models with GARCH errors
ανά: Felix Chan, κ.ά.
Έκδοση: (2015-01-01)

Garch models and distributions comparison for nonlinear time series with volatilities
ανά: Abdul Rahman, Nur Haizum, κ.ά.
Έκδοση: (2023)

GARCH models and distributions comparison for nonlinear time series with volatilities
ανά: Nur Haizum, Abd Rahman, κ.ά.
Έκδοση: (2023)

Comparative analysis of AR-GARCH and p-adic methods of the prediction of the financial market volatility
ανά: Pyotr Mikhailovich Simonov, κ.ά.
Έκδοση: (2019-03-01)

Dynamical approach in studying stability condition of exponential (GARCH) models
ανά: Azhar Abbas Mohammad, κ.ά.
Έκδοση: (2020-01-01)

Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH
ανά: Esmaiel Abounoori, κ.ά.
Έκδοση: (2018-09-01)

Forecasting the Stock Market Returns Using nonlinear hybrid GARCH-SETAR model
ανά: Tayyab Raza Fraz
Έκδοση: (2024-03-01)

Structural nonlinear damage identification using penalty conversion index of GARCH model
ανά: Hui-Yong Guo, κ.ά.
Έκδοση: (2020-11-01)

MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS
ανά: Cociuba Mihail Ioan, κ.ά.
Έκδοση: (2011-07-01)

TIME SERIES ANALYSIS USING COPULA GAUSS AND AR(1)-N.GARCH(1,1)
ανά: Rezzy Eko Caraka, κ.ά.
Έκδοση: (2016-06-01)

Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability
ανά: Marc S. Paolella
Έκδοση: (2016-05-01)

Outlier Detection in GARCH Models.
ανά: Doornik, J, κ.ά.
Έκδοση: (2005)

Multimodality in GARCH Regression Models.
ανά: Doornik, J, κ.ά.
Έκδοση: (2008)

Multimodality in the GARCH Regression Models.
ανά: Doornik, J, κ.ά.
Έκδοση: (2003)

PERAMALAN VOLATILITAS SAHAM MENGGUNAKAN MODEL EXPONENTIAL GARCH DAN THRESHOLD GARCH
ανά: SITI RAHAYU NINGSIH, κ.ά.
Έκδοση: (2019-11-01)

A Height Nonlinear Velocity Field Algorithm for CORS Station Based on GARCH Model
ανά: Hengjing Zhang, κ.ά.
Έκδοση: (2022-10-01)

Porównanie bayesowskich modeli Copula-AR(1)-GARCH(1,1) z asymetrycznością rozkładów warunkowych
ανά: Justyna Mokrzycka
Έκδοση: (2018-04-01)

Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches
ανά: Thitivadee Chaiyawat, κ.ά.
Έκδοση: (2024-12-01)

Performance of the Realized-GARCH Model against Other GARCH Types in Predicting Cryptocurrency Volatility
ανά: Rhenan G. S. Queiroz, κ.ά.
Έκδοση: (2023-12-01)

Calculation of Crude Oil Price Risk Using HM-GARCH and MRS-GARCH Model
ανά: Moslem Nilchi, κ.ά.
Έκδοση: (2022-12-01)

GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models
ανά: Didit Budi Nugroho, κ.ά.
Έκδοση: (2022-04-01)

A GARCH Model with Artificial Neural Networks
ανά: Wing Ki Liu, κ.ά.
Έκδοση: (2020-10-01)

Kurtosis dan model volatiliti Garch
ανά: , IFANSYAH, Nor, κ.ά.
Έκδοση: (2008)

Indonesian Stock Market Volatility: GARCH Model
ανά: Endri Endri, κ.ά.
Έκδοση: (2020-06-01)

A Nonlinear ARMA-GARCH Model With Johnson $S_u$ Innovations and Its Application to Sea Clutter Modeling
ανά: Yunjian Zhang, κ.ά.
Έκδοση: (2018-01-01)

Modeling S&P500 returns with GARCH models
ανά: Rodrigo Alfaro, κ.ά.
Έκδοση: (2023-09-01)

GARCH Proof of Concept
ανά: Datta, Shoumen
Έκδοση: (2008)

Test of the Quantity theory of Money in Iran and Examination of The Effectiveness of Price Stabilizing Policy with GARCH Models
ανά: Gholamreza Eslami Bidgoli, κ.ά.
Έκδοση: (2008-06-01)

Model GARCH Dan Jujukan Bersyarat GAUSS.
ανά: Kamil, Anton Abdulbasah
Έκδοση: (2003)

A Mixture Integer-Valued Garch Model
ανά: Mamadou Lamine Diop, κ.ά.
Έκδοση: (2016-06-01)

Influence of political stability on the stock market returns and volatility: GARCH and EGARCH approach
ανά: Wajid Alim, κ.ά.
Έκδοση: (2024-11-01)

Tax and price stability in selected African countries: A GARCH-MIDAS approach
ανά: Usenobong Akpan, κ.ά.
Έκδοση: (2024-03-01)

Modelling the price dynamics of cryptocurrencies with GARCH and SVCJ models
ανά: Zhao, Zhun
Έκδοση: (2022)

Modelling the volatility of Bitcoin returns using GARCH models
ανά: Samuel Asante Gyamerah
Έκδοση: (2019-01-01)

Shrinkage Estimation of Linear Regression Models with GARCH Errors
ανά: S. Hossain, κ.ά.
Έκδοση: (2016-11-01)

Ainda os modelos GARCH
ανά: Rodrigo De Losso da Silveira Bueno
Έκδοση: (2002-04-01)