Local Scale Models: State Space Alternative to Integrated GARCH Processes.

Local Scale Models: State Space Alternative to Integrated GARCH Processes.

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Bibliografiske detaljer
Hovedforfatter:	Shephard, N
Format:	Journal article
Sprog:	English
Udgivet:	1994

Lignende værker

Local scale models: state space alternative to integrated GARCH processes
af: Shephard, N
Udgivet: (1994)

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Nuisance parameters, composite likelihoods and a panel of GARCH models.
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Nuisance parameters, composite likelihoods and a panel of GARCH models.
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Outlier Detection in GARCH Models.
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Multimodality in GARCH Regression Models.
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Multimodality in the GARCH Regression Models.
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Udgivet: (2003)

Exact score for time series models in state space form
af: Koopman, S, et al.
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Exact score for time series models in state space form
af: Shephard, N, et al.
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Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches
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Performance of the Realized-GARCH Model against Other GARCH Types in Predicting Cryptocurrency Volatility
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QML Estimation of GARCH(1,1) Process
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Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications
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GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models
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Stability of nonlinear AR-GARCH models.
af: Meitz, M, et al.
Udgivet: (2007)

Stability of nonlinear AR-GARCH models
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Udgivet: (2007)

Kurtosis dan model volatiliti Garch
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Modeling S&P500 returns with GARCH models
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On GARCH(p,q) convergence
af: J. Carkovs, et al.
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GARCH Proof of Concept
af: Datta, Shoumen
Udgivet: (2008)

Statistical algorithms for models in state space using ssfpack 2.2.
af: Koopman, S, et al.
Udgivet: (1998)

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An integer GARCH model for a Poisson process with time-varying zero-inflation.
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Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
af: Pitt, M, et al.
Udgivet: (1999)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.
af: Pitt, M, et al.
Udgivet: (1996)

Model GARCH Dan Jujukan Bersyarat GAUSS.
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A GARCH Model with Artificial Neural Networks
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A Mixture Integer-Valued Garch Model
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Indonesian Stock Market Volatility: GARCH Model
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Parameter estimation in nonlinear AR-GARCH models
af: Meitz, M, et al.
Udgivet: (2008)

Statistical Algorithms for Models in State Space Form: SsfPack 3.0.
af: Koopman, S, et al.
Udgivet: (2008)

Statistical Algorithms for Models in State Space Using SsfPack 2.2.
af: Koopman, S, et al.
Udgivet: (1999)

An alternative hyper-Poisson integer-valued GARCH model with application to polio, internet protocol and COVID-19 data
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Modelling the price dynamics of cryptocurrencies with GARCH and SVCJ models
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Udgivet: (2022)