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

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

Show other versions (1)

Bibliographic Details
Main Author:	Shephard, N
Format:	Journal article
Language:	English
Published:	1994

Similar Items

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

Nuisance parameters, composite likelihoods and a panel of GARCH models
by: Shephard, N, et al.
Published: (2009)

Nuisance parameters, composite likelihoods and a panel of GARCH models.
by: Pakel, C, et al.
Published: (2009)

Nuisance parameters, composite likelihoods and a panel of GARCH models.
by: Pakel, C, et al.
Published: (2011)

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

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

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

Outlier Detection in GARCH Models.
by: Doornik, J, et al.
Published: (2005)

Multimodality in GARCH Regression Models.
by: Doornik, J, et al.
Published: (2008)

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

Exact score for time series models in state space form
by: Koopman, S, et al.
Published: (1992)

Exact score for time series models in state space form
by: Shephard, N, et al.
Published: (1992)

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

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

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

Block Bootstrap Prediction Intervals for GARCH Processes
by: Beste Hamiye Beyaztas, et al.
Published: (2020-10-01)

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

Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications
by: Shailesh Rastogi, et al.
Published: (2024-12-01)

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

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

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

Kurtosis dan model volatiliti Garch
by: , IFANSYAH, Nor, et al.
Published: (2008)

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

On GARCH(p,q) convergence
by: J. Carkovs, et al.
Published: (2018-04-01)

GARCH Proof of Concept
by: Datta, Shoumen
Published: (2008)

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

Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation
by: Žmuk Berislav, et al.
Published: (2020-05-01)

An integer GARCH model for a Poisson process with time-varying zero-inflation.
by: Isuru Panduka Ratnayake, et al.
Published: (2023-01-01)

Modelling International Tourist Arrivals Volatility in Zimbabwe Using a GARCH Process
by: Tendi Makoni, et al.
Published: (2021-07-01)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
by: Pitt, M, et al.
Published: (1999)

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

Model GARCH Dan Jujukan Bersyarat GAUSS.
by: Kamil, Anton Abdulbasah
Published: (2003)

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

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

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

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

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

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

An alternative hyper-Poisson integer-valued GARCH model with application to polio, internet protocol and COVID-19 data
by: Kee Wah Fo, et al.
Published: (2023-10-01)

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