Time-changed GARCH versus GARJI model for extreme events : an empirical study
Lie-Jane Kao, Po-Cheng Wu, and Cheng Few Lee
| Year of publication: |
2024
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|---|---|
| Authors: | Kao, Lie-Jane ; Wu, Po-Cheng ; Lee, Cheng F. |
| Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2. - New Jersey : World Scientific, ISBN 978-981-12-6323-1. - 2024, p. 1339-1356
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| Subject: | GARCH-jump mixture model | GARJI model | Diffusion process | Compounded poisson process | Volatility clustering | Leverage effect | Ex post filter | VG NGARCH model | Variance-gamma model | Shape parameter | Ex ante prediction | Goodness of fit | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1142/9789811269943_0040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015046799