Narrow search
Showing 1 - 3 of 3
Cover Image
Bayesian clustering of many GARCH models
BAUWENS, Luc; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003
We consider the estimation of a large number of GARCH models, of the order of several hundreds. To achieve parsimony …
Persistent link: https://www.econbiz.de/10005008555
Cover Image
Are there Structural Breaks in Realized Volatility?
Liu, Chun; Maheu, John M - University of Toronto, Department of Economics - 2007
to different models including a GARCH specification for the conditional variance of log(RV). …
Persistent link: https://www.econbiz.de/10005704731
Cover Image
Bayesian Clustering of Many Garch Models
Bauwens, L.; Rombouts, J. V. K. - In: Econometric Reviews 26 (2007) 2-4, pp. 365-386
We consider the estimation of a large number of GARCH models, of the order of several hundreds. Our interest lies in …
Persistent link: https://www.econbiz.de/10005157462