Volatility estimation using a rational GARCH model
Tetsuya Takaishi
| Year of publication: |
2018
|
|---|---|
| Authors: | Takaishi, Tetsuya |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 2.2018, 1, p. 127-136
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| Subject: | asymmetric volatility | rational GARCH model | bayesian inference | Markov Chain Monte Carlo | Metropolis-Hastings algorithm | realized volatility | Padé approximants | student-t distribution | QLIKE loss function | Volatilität | Volatility | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2018.1.127 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012137901