Stability of nonlinear AR-GARCH models

Stability of nonlinear AR-GARCH models

Show other versions (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...

书目详细资料
Main Authors:	Meitz, M, Saikkonen, P
格式:	Working paper
出版:	University of Oxford 2007

相似书籍

Stability of nonlinear AR-GARCH models.
由: Meitz, M, et al.
出版: (2007)

Parameter estimation in nonlinear AR-GARCH models
由: Meitz, M, et al.
出版: (2008)

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.
由: Meitz, M, et al.
出版: (2007)

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
由: Meitz, M, et al.
出版: (2007)

Structure and asymptotic theory for nonlinear models with GARCH errors
由: Felix Chan, et al.
出版: (2015-01-01)

Garch models and distributions comparison for nonlinear time series with volatilities
由: Abdul Rahman, Nur Haizum, et al.
出版: (2023)

GARCH models and distributions comparison for nonlinear time series with volatilities
由: Nur Haizum, Abd Rahman, et al.
出版: (2023)

Comparative analysis of AR-GARCH and p-adic methods of the prediction of the financial market volatility
由: Pyotr Mikhailovich Simonov, et al.
出版: (2019-03-01)

Dynamical approach in studying stability condition of exponential (GARCH) models
由: Azhar Abbas Mohammad, et al.
出版: (2020-01-01)

Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH
由: Esmaiel Abounoori, et al.
出版: (2018-09-01)

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

Structural nonlinear damage identification using penalty conversion index of GARCH model
由: Hui-Yong Guo, et al.
出版: (2020-11-01)

MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS
由: Cociuba Mihail Ioan, et al.
出版: (2011-07-01)

TIME SERIES ANALYSIS USING COPULA GAUSS AND AR(1)-N.GARCH(1,1)
由: Rezzy Eko Caraka, et al.
出版: (2016-06-01)

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

Outlier Detection in GARCH Models.
由: Doornik, J, et al.
出版: (2005)

Multimodality in GARCH Regression Models.
由: Doornik, J, et al.
出版: (2008)

Multimodality in the GARCH Regression Models.
由: Doornik, J, et al.
出版: (2003)

PERAMALAN VOLATILITAS SAHAM MENGGUNAKAN MODEL EXPONENTIAL GARCH DAN THRESHOLD GARCH
由: SITI RAHAYU NINGSIH, et al.
出版: (2019-11-01)

A Height Nonlinear Velocity Field Algorithm for CORS Station Based on GARCH Model
由: Hengjing Zhang, et al.
出版: (2022-10-01)

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

Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches
由: Thitivadee Chaiyawat, et al.
出版: (2024-12-01)

Performance of the Realized-GARCH Model against Other GARCH Types in Predicting Cryptocurrency Volatility
由: Rhenan G. S. Queiroz, et al.
出版: (2023-12-01)

Calculation of Crude Oil Price Risk Using HM-GARCH and MRS-GARCH Model
由: Moslem Nilchi, et al.
出版: (2022-12-01)

GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models
由: Didit Budi Nugroho, et al.
出版: (2022-04-01)

A GARCH Model with Artificial Neural Networks
由: Wing Ki Liu, et al.
出版: (2020-10-01)

Kurtosis dan model volatiliti Garch
由: , IFANSYAH, Nor, et al.
出版: (2008)

Indonesian Stock Market Volatility: GARCH Model
由: Endri Endri, et al.
出版: (2020-06-01)

A Nonlinear ARMA-GARCH Model With Johnson $S_u$ Innovations and Its Application to Sea Clutter Modeling
由: Yunjian Zhang, et al.
出版: (2018-01-01)

Modeling S&P500 returns with GARCH models
由: Rodrigo Alfaro, et al.
出版: (2023-09-01)

GARCH Proof of Concept
由: Datta, Shoumen
出版: (2008)

Test of the Quantity theory of Money in Iran and Examination of The Effectiveness of Price Stabilizing Policy with GARCH Models
由: Gholamreza Eslami Bidgoli, et al.
出版: (2008-06-01)

Model GARCH Dan Jujukan Bersyarat GAUSS.
由: Kamil, Anton Abdulbasah
出版: (2003)

A Mixture Integer-Valued Garch Model
由: Mamadou Lamine Diop, et al.
出版: (2016-06-01)

Influence of political stability on the stock market returns and volatility: GARCH and EGARCH approach
由: Wajid Alim, et al.
出版: (2024-11-01)

Tax and price stability in selected African countries: A GARCH-MIDAS approach
由: Usenobong Akpan, et al.
出版: (2024-03-01)

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

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

Shrinkage Estimation of Linear Regression Models with GARCH Errors
由: S. Hossain, et al.
出版: (2016-11-01)

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