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  • Search: subject:"Generalized Autoregressive conditional heteroskedasticity (garch)"
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Year of publication
Subject
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ARCH model 3 ARCH-Modell 3 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) 3 Central bank 2 Estimation theory 2 Euro Swaps 2 European Central Bank (ECB) 2 Geldpolitik 2 Interest Rate Swaps 2 Monetary Policy 2 Monetary policy 2 Schätztheorie 2 Short-Term Interest Rate 2 Time series analysis 2 Zeitreihenanalyse 2 Zentralbank 2 ARMA model 1 ARMA-Modell 1 Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) Model 1 Bayes-Statistik 1 Bayesian inference 1 Currency in circulation 1 EU countries 1 EU-Staaten 1 Euro 1 Euro area 1 Eurozone 1 Exchange rate 1 Forecasting model 1 Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Model 1 Interest rate 1 Interest rate derivative 1 Markov Chain Monte Carlo (MCMC) 1 Markov chain 1 Markov-Kette 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Near Epoch Dependence (NED). 1 Prognoseverfahren 1 Swap 1
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Online availability
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Free 4
Type of publication
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Book / Working Paper 4
Type of publication (narrower categories)
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Working Paper 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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English 4
Author
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Akram, Tanweer 2 Glova, Adrian Matthew G. 1 Hernandez, Roy R. 1 Mamun, Khawaja 1 Nakatsuma, Teruo 1 Tsurumi, Hiroki 1 al Mamun, Khawaja Abdullah 1
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Published in...
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BSP working paper series 1 Working Paper 1 Working papers / Rutgers University, Department of Economics 1 Working papers / The Levy Economics Institute 1
Source
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ECONIS (ZBW) 3 EconStor 1
Showing 1 - 4 of 4
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Euro interest rate swap yields: A GARCH analysis Tanweer Akram (Citibank) and Khawaja Mamun (Sacred Heart University (SHU))
Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023
a generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the monthly change …
Persistent link: https://www.econbiz.de/10014474478
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Cover Image
Euro interest rate swap yields : a GARCH analysis
Akram, Tanweer; Mamun, Khawaja - 2023
a generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the monthly change …
Persistent link: https://www.econbiz.de/10014438498
Saved in:
Cover Image
Balance sheet approach to forecasting currency in circulation
Glova, Adrian Matthew G.; Hernandez, Roy R. - 2022
Persistent link: https://www.econbiz.de/10014318687
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ARMA-GARCH models : Bayes estimation versus MLE, and Bayes non-stationarity test
Nakatsuma, Teruo; Tsurumi, Hiroki - 1996
We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models. Our Monte Carlo experiments indicate that in small sample, the Bayes estimator beats the MLE. We also develop a Bayes method of testing strict stationarity and ergodicity of the...
Persistent link: https://www.econbiz.de/10011577178
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