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

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

Показать другие версии (1)

Библиографические подробности
Главный автор:	Shephard, N
Формат:	Journal article
Язык:	English
Опубликовано:	1994

Схожие документы

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

Nuisance parameters, composite likelihoods and a panel of GARCH models
по: Shephard, N, и др.
Опубликовано: (2009)

Nuisance parameters, composite likelihoods and a panel of GARCH models.
по: Pakel, C, и др.
Опубликовано: (2009)

Nuisance parameters, composite likelihoods and a panel of GARCH models.
по: Pakel, C, и др.
Опубликовано: (2011)

Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH
по: Esmaiel Abounoori, и др.
Опубликовано: (2018-09-01)

MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS
по: Cociuba Mihail Ioan, и др.
Опубликовано: (2011-07-01)

PERAMALAN VOLATILITAS SAHAM MENGGUNAKAN MODEL EXPONENTIAL GARCH DAN THRESHOLD GARCH
по: SITI RAHAYU NINGSIH, и др.
Опубликовано: (2019-11-01)

Outlier Detection in GARCH Models.
по: Doornik, J, и др.
Опубликовано: (2005)

Multimodality in GARCH Regression Models.
по: Doornik, J, и др.
Опубликовано: (2008)

Multimodality in the GARCH Regression Models.
по: Doornik, J, и др.
Опубликовано: (2003)

Exact score for time series models in state space form
по: Koopman, S, и др.
Опубликовано: (1992)

Exact score for time series models in state space form
по: Shephard, N, и др.
Опубликовано: (1992)

Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches
по: Thitivadee Chaiyawat, и др.
Опубликовано: (2024-12-01)

Performance of the Realized-GARCH Model against Other GARCH Types in Predicting Cryptocurrency Volatility
по: Rhenan G. S. Queiroz, и др.
Опубликовано: (2023-12-01)

Calculation of Crude Oil Price Risk Using HM-GARCH and MRS-GARCH Model
по: Moslem Nilchi, и др.
Опубликовано: (2022-12-01)

Block Bootstrap Prediction Intervals for GARCH Processes
по: Beste Hamiye Beyaztas, и др.
Опубликовано: (2020-10-01)

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

Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications
по: Shailesh Rastogi, и др.
Опубликовано: (2024-12-01)

GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models
по: Didit Budi Nugroho, и др.
Опубликовано: (2022-04-01)

Stability of nonlinear AR-GARCH models.
по: Meitz, M, и др.
Опубликовано: (2007)

Stability of nonlinear AR-GARCH models
по: Meitz, M, и др.
Опубликовано: (2007)

Kurtosis dan model volatiliti Garch
по: , IFANSYAH, Nor, и др.
Опубликовано: (2008)

Modeling S&P500 returns with GARCH models
по: Rodrigo Alfaro, и др.
Опубликовано: (2023-09-01)

On GARCH(p,q) convergence
по: J. Carkovs, и др.
Опубликовано: (2018-04-01)

GARCH Proof of Concept
по: Datta, Shoumen
Опубликовано: (2008)

Statistical algorithms for models in state space using ssfpack 2.2.
по: Koopman, S, и др.
Опубликовано: (1998)

Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation
по: Žmuk Berislav, и др.
Опубликовано: (2020-05-01)

An integer GARCH model for a Poisson process with time-varying zero-inflation.
по: Isuru Panduka Ratnayake, и др.
Опубликовано: (2023-01-01)

Modelling International Tourist Arrivals Volatility in Zimbabwe Using a GARCH Process
по: Tendi Makoni, и др.
Опубликовано: (2021-07-01)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
по: Pitt, M, и др.
Опубликовано: (1999)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models.
по: Pitt, M, и др.
Опубликовано: (1996)

Model GARCH Dan Jujukan Bersyarat GAUSS.
по: Kamil, Anton Abdulbasah
Опубликовано: (2003)

A GARCH Model with Artificial Neural Networks
по: Wing Ki Liu, и др.
Опубликовано: (2020-10-01)

A Mixture Integer-Valued Garch Model
по: Mamadou Lamine Diop, и др.
Опубликовано: (2016-06-01)

Indonesian Stock Market Volatility: GARCH Model
по: Endri Endri, и др.
Опубликовано: (2020-06-01)

Parameter estimation in nonlinear AR-GARCH models
по: Meitz, M, и др.
Опубликовано: (2008)

Statistical Algorithms for Models in State Space Form: SsfPack 3.0.
по: Koopman, S, и др.
Опубликовано: (2008)

Statistical Algorithms for Models in State Space Using SsfPack 2.2.
по: Koopman, S, и др.
Опубликовано: (1999)

An alternative hyper-Poisson integer-valued GARCH model with application to polio, internet protocol and COVID-19 data
по: Kee Wah Fo, и др.
Опубликовано: (2023-10-01)

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