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Strict stationarity and mixing properties of asymmetric power GARCH models allow
3 个回复 - 853 次查看【作者(必填)】O[/backcolor]. Lee,D.W.Shin[/backcolor] 【文题(必填)】Strict stationarity and mixing properties of asymmetric power GARCH models allow 【年份(必填)】2004 【全文链接或数据库名称( ...2020-2-1 21:27 - wangdali - 求助成功区

求tandfonline文献一篇：Asymmetry and leverage in GARCH models: a News Impact...
1 个回复 - 453 次查看【作者(必填)】Massimiliano Caporin & Michele Costola 【文题(必填)】Asymmetry and leverage in GARCH models: a News Impact Curve perspective 【年份(必填)】2019 【全文链接或数据库名称(选填)】https:/ ...2019-5-7 15:59 - Jobsecond - 求助成功区

求 Time-varying volatility asymmetry: a conditioned HAR-RV (CJ) EGARCH-M model
5 个回复 - 1266 次查看【作者(必填)】Ceylan Ö. 【文题(必填)】 Time-varying volatility asymmetry: a conditioned HAR-RV (CJ) EGARCH-M model[J] 【年份(必填)】2014 【全文链接或数据库名称(选填)】. The Journal of Ri ...2016-10-12 22:55 - weilinhy - 求助成功区

[分享]A Study on the Asymmetric GARCH Model
4 个回复 - 2531 次查看两篇非对称GARCH A Study on the Asymmetric GARCH Model [此贴子已经被作者于2007-4-20 1:08:04编辑过]2007-4-20 01:06 - donadoni - 数据交流中心

Bayesian estimation of a Markov-switching threshold asymmetric GARCH model
2 个回复 - 1160 次查看【作者(必填)】David Ardia 【文题(必填)】Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 【年份(必填)】2008 【全文链接或数据库名称(选填 ...2014-7-7 23:29 - lipj - 求助成功区

Forecasting Stock Index Realized Volatility with an Asymmetric HAR-FIGARCH Model
1 个回复 - 1207 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

求助一篇文献 QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
1 个回复 - 1029 次查看【作者(必填)】Christian Francq and Jean-Michel Zakoïana1 【文题(必填)】QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS 【年份(必填)】2012 【全文链接或数据库名称(选填)】 ...2013-2-23 14:51 - ywh19860616 - 求助成功区

[分享]Bayesian estimation of a Markov-switching threshold asymmetric GARCH model w
5 个回复 - 4461 次查看 Econometrics Journal 09年最新文章6Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovatio2009-4-21 01:22 - ccsxghcwb - 计量经济学与统计软件

如何让SAS输出GARCH model的MLE的asymptotic standard error？
1 个回复 - 3125 次查看 RT。这是我在上的一个课要做的一个research project中的一步，大概是这样的：已知所有parameter的值，用data step generate了一个AR(1)-GARCH(3,1)的model(即5个参数都知道，n=500的time series，burn-in pe ...2011-1-16 15:07 - shenxw88 - SAS专版

Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-St...
0 个回复 - 239 次查看 2004-11-17 16:37 - 金融基金342 - Forum

Asymptotic normality of the QMLE in the level-effect ARCH model-水平效应ARCH模型中...
0 个回复 - 889 次查看 2004-11-1 13:47 - 网路营销246 - Forum

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