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

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

Εμφάνιση άλλων εκδόσεων (1)

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας:	Shephard, N
Μορφή:	Journal article
Γλώσσα:	English
Έκδοση:	1994

Παρόμοια τεκμήρια

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

Nuisance parameters, composite likelihoods and a panel of GARCH models
ανά: Shephard, N, κ.ά.
Έκδοση: (2009)

Nuisance parameters, composite likelihoods and a panel of GARCH models.
ανά: Pakel, C, κ.ά.
Έκδοση: (2009)

Nuisance parameters, composite likelihoods and a panel of GARCH models.
ανά: Pakel, C, κ.ά.
Έκδοση: (2011)

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

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

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

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)

Exact score for time series models in state space form
ανά: Koopman, S, κ.ά.
Έκδοση: (1992)

Exact score for time series models in state space form
ανά: Shephard, N, κ.ά.
Έκδοση: (1992)

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)

Block Bootstrap Prediction Intervals for GARCH Processes
ανά: Beste Hamiye Beyaztas, κ.ά.
Έκδοση: (2020-10-01)

QML Estimation of GARCH(1,1) Process
ανά: Mona Samy Elkhouly
Έκδοση: (2017-01-01)

Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications
ανά: Shailesh Rastogi, κ.ά.
Έκδοση: (2024-12-01)

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)

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

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

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

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

On GARCH(p,q) convergence
ανά: J. Carkovs, κ.ά.
Έκδοση: (2018-04-01)

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

Statistical algorithms for models in state space using ssfpack 2.2.
ανά: Koopman, S, κ.ά.
Έκδοση: (1998)

Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation
ανά: Žmuk Berislav, κ.ά.
Έκδοση: (2020-05-01)

An integer GARCH model for a Poisson process with time-varying zero-inflation.
ανά: Isuru Panduka Ratnayake, κ.ά.
Έκδοση: (2023-01-01)

Modelling International Tourist Arrivals Volatility in Zimbabwe Using a GARCH Process
ανά: Tendi Makoni, κ.ά.
Έκδοση: (2021-07-01)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
ανά: Pitt, M, κ.ά.
Έκδοση: (1999)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.
ανά: Pitt, M, κ.ά.
Έκδοση: (1996)

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

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

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

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

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

Statistical Algorithms for Models in State Space Form: SsfPack 3.0.
ανά: Koopman, S, κ.ά.
Έκδοση: (2008)

Statistical Algorithms for Models in State Space Using SsfPack 2.2.
ανά: Koopman, S, κ.ά.
Έκδοση: (1999)

An alternative hyper-Poisson integer-valued GARCH model with application to polio, internet protocol and COVID-19 data
ανά: Kee Wah Fo, κ.ά.
Έκδοση: (2023-10-01)

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