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GARCH Proof of Concept
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ECONIS (ZBW)
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1
The stochastic volatility in mean model
Koopman, Siem Jan
;
Hol Uspensky, Eugenie
-
2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10011303314
Saved in:
2
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
1999
methods. The effects of several model characteristics(unit roots,
GARCH
, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131
Saved in:
3
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
2001
methods. The effects ofseveral modelcharacteristics (unit roots,
GARCH
, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10011313921
Saved in:
4
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
5
Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc
;
Bos, Charles S.
;
Dijk, Herman K. van
-
1999
applied within a Bayesian analysisof a
GARCH
-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011302625
Saved in:
6
Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.
;
Weide, Roy van der
-
2003
predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with
GARCH
($1 …,1$) innovations, and predicts a relation between the ARCH and
GARCH
coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and
GARCH
coefficients for exchange rate data. …
Persistent link: https://www.econbiz.de/10011334332
Saved in:
7
An event study of Chinese tourists to Taiwan
Chang, Chia-Lin
;
Hsu, Shu-Han
;
McAleer, Michael
-
2018
, namely,
GARCH
(1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …
Persistent link: https://www.econbiz.de/10011794257
Saved in:
8
Stock index volatility
forecasting
with high frequency data
Hol Uspensky, Eugenie
;
Koopman, Siem Jan
-
2002
for longer horizon volatility forecasts. In this paper we explore the
forecasting
value of these high fre-quency series in … Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (
GARCH
) models which are both extended to include … the intraday volatility measure. For
forecasting
horizons ranging from one day to one week the most accurate out …
Persistent link: https://www.econbiz.de/10011326944
Saved in:
9
Bayesian estimation of the
GARCH
(1,1) model with student-t innovations
Ardia, David
;
Hoogerheide, Lennart F.
-
2010
parsimonious and effective
GARCH
(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …
Persistent link: https://www.econbiz.de/10011380176
Saved in:
10
Efficient Bayesian estimation and combination of
GARCH
-type models
Ardia, David
;
Hoogerheide, Lennart F.
-
2010
-
This version: January 22, 2010
This paper proposes an up-to-date review of estimation strategies available for the Bayesian inference of
GARCH
… empirical application to S&P index log-returns. Several non-nested
GARCH
-type models are estimated and combined to predict the …
Persistent link: https://www.econbiz.de/10011380465
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