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BEKK-GARCH模型做风险溢出效应分析： R with application to financial quantitive
7 个回复 - 2257 次查看 BEKK-GARCH模型做风险溢出效应分析： R with application to financial quantitive analysis BEKK-GARCH模型做风险溢出效应分析： R with application to financial quantitive analysis[/backcolor] 1. 模型程 ...2020-1-12 16:56 - Mujahida - 现金交易版

Forecasting Crude Oil Future Volatilities with a Threshold Zero-Drift GARCH Mode
3 个回复 - 14 次查看 Forecasting Crude Oil Future Volatilities with a Threshold Zero-Drift GARCH Model2022-9-24 18:26 - trauzent - Forum

Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hed
3 个回复 - 1158 次查看【作者(必填)】 23 【文题(必填)】 Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures【年份(必填)】 23 【全文链接或数据库名称(选填)】https:// ...2021-3-17 22:51 - internet.hzx - 求助成功区

Forecasting in GARCH models with polynomially modified innovations
1 个回复 - 329 次查看【作者(必填)】 66 【文题(必填)】 Forecasting in GARCH models with polynomially modified innovations【年份(必填)】 77 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/ab ...2021-8-8 11:53 - internet.hzx - 求助成功区

A new approach to Value-at-Risk: GARCH-TSLx model with inference
1 个回复 - 387 次查看【作者(必填)】 23 【文题(必填)】 A new approach to Value-at-Risk: GARCH-TSLx model with inference 【年份(必填)】 3 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi/abs/10.1080/03610 ...2021-6-13 10:36 - internet.hzx - 求助成功区

Forecasting VaR using realized EGARCH model with skewness and kurtosis
1 个回复 - 805 次查看【作者(必填)】 23 【文题(必填)】 Forecasting VaR using realized EGARCH model with skewness and kurtosis【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/arti ...2021-6-13 10:41 - internet.hzx - 求助成功区

An economic evaluation of stock–bond return comovements with copula-based GARCH
8 个回复 - 702 次查看【作者(必填)】 23 【文题(必填)】 An economic evaluation of stock–bond return comovements with copula-based GARCH models 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.tandfonline.c ...2021-2-24 23:52 - internet.hzx - 文献求助专区

An economic evaluation of stock–bond return comovements with copula-based GARCH
2 个回复 - 237 次查看【作者(必填)】 23 【文题(必填)】 An economic evaluation of stock–bond return comovements with copula-based GARCH models 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.tandfonline.c ...2021-2-24 13:12 - internet.hzx - 求助成功区

Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hed
1 个回复 - 503 次查看【作者(必填)】 23 【文题(必填)】 Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures【年份(必填)】 23 【全文链接或数据库名称(选填)】https:// ...2021-2-24 13:10 - internet.hzx - 求助成功区

Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Si
2 个回复 - 599 次查看【作者(必填)】 MJ Rodríguez， E Ruiz 【文题(必填)】 Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities【年份(必填)】 2012 【全文链接或数据库名称(选填)】ht ...2017-12-1 22:24 - internet.hzx - 求助成功区

Forecasting the covariance matrix with the DCC GARCH model
1 个回复 - 2975 次查看 How to forecast the covariance matrix with the DCC GARCH model using software package？Many thanks！2009-3-19 14:08 - dieme - 金融学（理论版）

GARCH with jump
1 个回复 - 1144 次查看用R 实现GARCH-jump 模型学习路径2018-11-1 11:10 - TerryLv - R语言论坛

An economic evaluation of stock–bond return comovements with copula-based GARCH
3 个回复 - 863 次查看【作者(必填)】 Chih-Chiang Wu & Zih-Ying Lin 【文题(必填)】 An economic evaluation of stock–bond return comovements with copula-based GARCH models【年份(必填)】 2010 【全文链接或数据库名称(选填) ...2018-6-7 17:54 - internet.hzx - 求助成功区

Option Pricing with the Realized GARCH Model: An Analytical Approximation Approa
1 个回复 - 550 次查看【作者(必填)】 [*]Zhuo Huang, [*] [*] [*]Tianyi Wang, [*] [*] [*] [*]Peter Reinhard Ha 【文题(必填)】Option Pricing with the Realized GARCH Model: An Analytical Approxim ...2017-10-20 09:23 - hnhs100 - 求助成功区

An economic evaluation of stock–bond return comovements with copula-based GARCH
1 个回复 - 625 次查看【作者(必填)】 Chih-Chiang Wu & Zih-Ying Lin 【文题(必填)】 An economic evaluation of stock–bond return comovements with copula-based GARCH models【年份(必填)】 2014 【全文链接或数据库名称(选填) ...2017-9-28 21:20 - internet.hzx - 求助成功区

An economic evaluation of stock–bond return comovements with copula-based GARCH
2 个回复 - 502 次查看【作者(必填)】 Chih-Chiang Wu， Zih-Ying Lin 【文题(必填)】 An economic evaluation of stock–bond return comovements with copula-based GARCH models【年份(必填)】 2014 【全文链接或数据库名称(选填) ...2017-8-5 19:03 - internet.hzx - 求助成功区

An economic evaluation of stock–bond return comovements with copula-based GARCH
1 个回复 - 662 次查看【作者(必填)】Chih-Chiang Wu[/backcolor] & Zih-Ying Lin[/backcolor] 【文题(必填)】 An economic evaluation of stock–bond return comovements with copula-based GARCH models【年份(必填)】 2012 【 ...2017-5-29 21:04 - internet.hzx - 求助成功区

Option pricing under GARCH models with Hansen's skewed-
2 个回复 - 939 次查看【作者(必填)】 someone 【文题(必填)】 Option pricing under GARCH models with Hansen's skewed-t distributed innovations【年份(必填)】 2015 【全文链接或数据库名称(选填)】http://www.sciencedirect.co ...2017-4-14 00:22 - internet.hzx - 求助成功区

An economic evaluation of stock–bond return comovements with copula-based GARCH
1 个回复 - 719 次查看【作者(必填)】 Chih-Chiang Wu，Zih-Ying Lin 【文题(必填)】 An economic evaluation of stock–bond return comovements with copula-based GARCH models【年份(必填)】 2014 【全文链接或数据库名称(选填)】 ...2017-5-2 14:04 - internet.hzx - 求助成功区

Exponential GARCH Modeling With Realized Measures of Volatility
1 个回复 - 770 次查看【作者(必填)】 Peter Reinhard Hansen[/backcolor] & Zhuo Huang[/backcolor] 【文题(必填)】 Exponential GARCH Modeling With Realized Measures of Volatility【年份(必填)】 2012 【全文链接或数据库名称( ...2016-12-24 16:34 - internet.hzx - 求助成功区

Forecasting Stock Market Volatility with Regime-Switching GARCH Models
15 个回复 - 1746 次查看【作者(必填)】Juri Marcucci 【文题(必填)】Forecasting Stock Market Volatility with Regime-Switching GARCH Models 【年份(必填)】2005 【全文链接或数据库名称(选填)】https://www.degruyter.com/vie ...2016-12-18 15:01 - runman - 求助成功区

[MATLAB/R]Simulation of a GARCH(p,q) with Gaussian innovations
5 个回复 - 2584 次查看 2015-8-28 09:55 - 匿名 - 经管代码库

Asymptotic inference for unit root with GARCH (1, 1) errors
5 个回复 - 797 次查看【作者(必填)】 Ling, S., Li, W. K. 【文题(必填)】 Asymptotic inference for unit root with GARCH (1, 1) errors 【年份(必填)】 2001 【全文链接或数据库名称(选填)】2016-11-26 14:52 - mico123 - 求助成功区

Eviews 程式碼(GARCH IN MEAN WITH SKEWNESS)
0 个回复 - 833 次查看 x是市场风险溢酬 r是每档股票报酬率小妹我要做一個報告，我以前都點選EVIEWS面板上按鈕操作，沒有學過程式碼。可是這篇的文章要打出程式碼才可以跑，所以我想求助大家，這程式碼要怎麼寫2016-4-29 10:50 - ripc2002 - EViews专版

Eviews 程式碼(GARCH IN MEAN WITH SKEWNESS)
0 个回复 - 666 次查看 x是市场风险溢酬 r是每档股票报酬率小妹我要做一個報告，我以前都點選EVIEWS面板上按鈕操作，沒有學過程式碼。可是這篇的文章要打出程式碼才可以跑，所以我想求助大家，這程式碼要怎麼寫如果有人需要论 ...2016-4-29 10:35 - ripc2002 - EViews专版

ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails
1 个回复 - 660 次查看【作者(必填)】 [*]Marc S. Paolella, [*]Paweł Polak 【文题(必填)】 ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails【年份(必填)】 2015 【全文链接或数据库名称(选填)】http://www.sc ...2016-3-20 15:52 - internet.hzx - 求助成功区

Test for parameter change in ARMA models with GARCH innovations
3 个回复 - 707 次查看 Test for parameter change in ARMA models with GARCH innovations2015-12-12 17:12 - lucky187 - 求助成功区

Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
1 个回复 - 648 次查看 Copula parameter change test for nonlinear AR models with nonlinear GARCH errors2015-12-12 17:01 - lucky187 - 求助成功区

Forecasting Volatilities and Correlations with EGARCH Models
2 个回复 - 1200 次查看【作者(必填)】Robert Cumby , Stephen Figlewski , and Joel Hasbrouck 【文题(必填)】Forecasting Volatilities and Correlations with EGARCH Models 【年份(必填)】1993 【全文链接或数据库名称(选填)】 ...2014-7-22 22:10 - lipj - 求助成功区

Harvey +EGARCH models with fat tails, skewness and leverage
1 个回复 - 664 次查看【作者(必填)】A. C. Harvey and G. Sucarrat 【文题(必填)】 EGARCH models with fat tails, skewness and leverage 【年份(必填)】2014 【全文链接或数据库名称(选填)】2015-3-21 10:00 - harlon1976 - 求助成功区

Pricing Taiwan option market with GARCH and stochastic volatility
1 个回复 - 1099 次查看【作者(必填)】Hung-Hsi Huanga, Ching-Ping Wangb* & Shiau-Hung Chenc 【文题(必填)】Pricing Taiwan option market with GARCH and stochastic volatility 【年份(必填)】2011 【全文链接或数据库名称( ...2014-7-4 16:36 - lipj - 求助成功区

(free)Financial Risk Management with Bayesian Estimation of GARCH Models
21 个回复 - 5205 次查看 ~~~~~~~~~~~~~2009-8-13 06:16 - yhongl12 - 金融学（理论版）

16、Modeling natural gas market volatility using GARCH with －请caiwh关注下
1 个回复 - 657 次查看【作者(必填)】Xiaodong Lva, c, , , , Xian Shanb 【文题(必填)】Modeling natural gas market volatility using GARCH with different distributions 【年份(必填)】Physica A: Statistical Mechanics and it ...2013-10-1 18:58 - 真龙121 - 求助成功区

Forecasting Stock Index Realized Volatility with an Asymmetric HAR-FIGARCH Model
1 个回复 - 1213 次查看【作者(必填)】 Dimitrios P. Louzis Athens University of Economics and Business; Bank of Greece Spyros Xanthopoulos-Sisinis Athens University of Economics and Business - Department of Managemen ...2013-8-30 08:35 - 金融坦然 - 求助成功区

A GARCH Option Pricing Model with Filtered Historical Simulation
1 个回复 - 1001 次查看【作者(必填)】 [*]Giovanni Barone-Adesi Swiss Finance Institute at the University of LuganoStern School of Business, New York University[*]Swiss Banking Institute, University of Zurich [*]Rob ...2013-6-9 09:48 - hnhs100 - 求助成功区

Ling+Asymptotic inference for unit root processes with GARCH (1,1) errors.
8 个回复 - 1020 次查看【作者(必填)】Ling, S., Li, W.K. 【文题(必填)】 Asymptotic inference for unit root processes with GARCH (1,1) errors. 【年份(必填)】2003,Econometric Theory 19:541-564. 【全文链接或数据库名称(选填 ...2013-2-24 08:34 - harlon1976 - 求助成功区

garch with dummy
1 个回复 - 2438 次查看请教一个问题想用GARCH model 来预测一个东西但是mean equation当中有其他变量还有dummy vairable这怎么用R或者s-plus搞定啊？也就是说mean equation是 y=c+b*x*D+a c是常数项，x是因变量 d是dummy variable，a ...2013-2-3 18:52 - stcopy - R语言论坛

ＥＳＴＩＭＡＴＥ　ＡＲＭＡ（ＰＱ）　ＡＮＤ　ＧＡＲＣＨ（１１）ＣＯＥＥＦＩＣＥＮＴ　ＷＩＴＨ　ＥＶＩＥＷＳ?
1 个回复 - 2810 次查看怎样用　eviews estimate coeeficient of arma(p,q) and garch(1,1) modle,还有p 跟q 的值要怎样确定啊？在做我的毕业论，急死洌，请教达人帮帮，多谢呢！ qq 25896441 msn tea2007_zz@hotmail.com2007-8-25 00:34 - lucyuk - EViews专版

Help: Garch with Eviews
1 个回复 - 3173 次查看 I have done the first step OLS and generated the residual seriesRESID01 my Equation01: logdax c logdax(-1 to -3) normal OLS estimation At the new window of RESID01 , i do the correl. test with 1 or ...2005-7-7 18:52 - sonyalin - EViews专版

Modelling short-term volatility with garch and harch models
1 个回复 - 1118 次查看【作者(必填)】M Dacorogna, U Müller (要求是清晰版的）【文题(必填)】Modelling short-term volatility with garch and harch models 【年份(必填)】1997 【全文链接或数据库名称(选填)】http://papers ...2012-7-7 14:10 - leihengzhishang - 求助成功区

Garch model with nlmixed
2 个回复 - 5155 次查看 See at the bottom. The first and second are provided by SAS. /*----------------------------------------------------------------- Example: Estimating GARCH Models Requires: SAS/ETS ...2011-3-20 12:02 - bobguy - SAS专版

Forecasting stock index realized volatility with an Asymmetric HAR-FIGARCH mode
2 个回复 - 1401 次查看【作者(必填)】【文题(必填)】Forecasting stock index realized volatility with an Asymmetric HAR-FIGARCH model: The case of S&P 500 and DJIA stock indicesDP Louzis, S Xanthopoulos-Sisinis… - pape ...2012-4-18 21:45 - 金融坦然 - 求助成功区

【下载】Financial Risk Management with Bayesian Estimation of GARCH Models
10 个回复 - 3142 次查看 Financial Risk Management With Bayesian Estimation Of Garch Models: Theory And Applications (Paperback) by David Ardia (Author) Book Summary of Financial Risk Management With Bayesian Estimation O ...2010-6-6 07:33 - kxjs2007 - 计量经济学与统计软件

[下载]Volatility Forecasts in Financial Time Series with HMM-GARCH Model
5 个回复 - 4167 次查看 Abstract. Nowadays many researchers use GARCH models to generatevolatility forecasts. However, it is well known that volatility persistence,as indicated by the sum of the two parameters G1 and A1[1] ...2006-10-27 14:34 - xuelida - 计量经济学与统计软件

Garch Toolbox for use with Matlab
4 个回复 - 2724 次查看第一次发文件，上传后却不知为何没有显示出来...大家直接复制下面的链接下载吧http://www.mathworks.com/access/helpdesk/help/pdf_doc/garch/garch.pdfhttp://www.mathworks.com/access/helpdesk/help/pdf_doc/garc ...2007-7-27 03:14 - nicholas_xu - MATLAB等数学软件专版

Nonstationary ARCH and GARCH with t-distributed Innovations-非平稳ARCH和GARCH与t分布创新
0 个回复 - 210 次查看 2004-11-30 20:14 - 开题报告范文525 - Forum

Nonstationary ARCH and GARCH with t-distributed Innovations
0 个回复 - 217 次查看 2004-11-30 09:02 - 年度财务报告898 - Forum

Exponential GARCH Modeling with Realized Measures of Volatility-指数GARCH建模与实...
0 个回复 - 568 次查看 2004-11-19 17:05 - 稽核084 - Forum

Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-St...
0 个回复 - 250 次查看 2004-11-17 16:37 - 金融基金342 - Forum

Option valuation with the simplified component GARCH model
0 个回复 - 267 次查看 2004-11-8 18:37 - 财务指标分析833 - Forum

Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of V...
0 个回复 - 1173 次查看 2004-11-6 15:27 - 网络经济学742 - Forum

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