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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 - 2295 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

Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study
1 个回复 - 316 次查看【作者(必填)】 33 【文题(必填)】 Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study【年份(必填)】 33 【全文链接或数据库名称(选填)】https://link.springer.com/chapter/10.1007/978-3-6 ...2023-8-24 23:28 - internet.hzx - 求助成功区

handbook of statistics --- Multivariate GARCH models for large-scale application
3 个回复 - 991 次查看 handbook of statistics: Multivariate GARCH models for large-scale applications: A survey This chapter provides a survey of various multivariate GARCH specifications that model the temporal dependence ...2020-4-10 22:02 - 冰枫冷羽 - 计量经济学与统计软件

【首发免费】Wiley - ARCH Models for Financial Applications (附GARCH Models）
121 个回复 - 22476 次查看缺光盘（大概400mb的Data和Eview File）【免费】说明：没想到这个帖子如此受欢迎，现在免费了。希望以后能找到更多更好的。 Prologue.Notation. 1 What is an ARCH process? 1.1 Introduction. 1.2 ...2010-10-22 02:58 - lanxyn - 金融学（理论版）

GARCH Models: Structure, Statistical Inference and Financial Applications
3 个回复 - 875 次查看 GARCH Models: Structure, Statistical Inference and Financial Applications Author(s): Christian Francq; Jean-Michel Zakoian Publisher: Wiley, Year: 2019 ISBN: 1119313562,9781119313564 Description ...2019-12-15 16:23 - hhasoka - Forum

Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS
4 个回复 - 976 次查看【作者(必填)】Daniel Borup[/backcolor] 【文题(必填)】Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model 【年份(必填)】2019 【全文链接或数据库名称(选填)】http ...2019-8-22 15:22 - hnhs100 - 求助成功区

Multivariate GARCH models for large-scale applications
2 个回复 - 655 次查看【作者(必填)】 KrisBoudt AlexiosGalanos ScottPayseur EricZivot 【文题(必填)】 Multivariate GARCH models for large-scale applications: A survey 【年份(必填)】 2019 【全文链接或数据库名称(选填)】 ...2019-5-6 22:08 - yahoocom - 文献求助专区

GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd e
7 个回复 - 1646 次查看书名: GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd edition 作者: Christian Francq, Jean-Michel Zakoian 出版日期: 2019 出版: Wiley 页数: 504 语言: 英语 ...2019-3-28 05:53 - zhangke0987 - 投资人（实务版）

GARCH Models: Structure, Statistical Inference and Financial Applications
8 个回复 - 3577 次查看 GARCH Models: Structure, Statistical Inference and Financial Applications By Christian Francq, Jean-Michel Zakoian [*]Publisher: Wiley[*]Number Of Pages: 504[*]Publication Date: 2010-09- ...2010-9-11 23:33 - yuedragon - 计量经济学与统计软件

GARCH Models Structure Statistical Inference&Financial Applications
13 个回复 - 4364 次查看 This book provides a complete coverage to GARCH modeling, including probability properties, identifying an appropriate model, estimation and testing, multivariate extensions including EGARCH, TGARCH ...2010-9-12 12:23 - aimms - R语言论坛

ARMA-GARCH-IN-MEAN 模型中， mean equation中garch项系数insignificant 如何解释急
3 个回复 - 5979 次查看在做经济增长与波动关系的研究，建立了AR（3）-GARCH-IN-MEAN 的模型，前期建立arma 模型时只是测了ar 有3个lag，存在arch effect，然后建立了 garch 模型，之后的确是消除了garch effect 但是最后结果在 mean eq ...2013-8-11 13:42 - ┡な態喥 - EViews专版

An analytical approximation for the GARCH option pricing model,作者：JC Duan ，
1 个回复 - 1002 次查看【作者(必填)】 JC Duan， G Gauthier， JG Simonato 【文题(必填)】 An Analytical Approximation for the GARCH Option Pricing Model Journal of Computational Finance【年份(必填)】 2000 【全文链接或数据 ...2017-12-8 10:26 - 泽纳苍穹 - 文献求助专区

Option Pricing with the Realized GARCH Model: An Analytical Approximation Approa
1 个回复 - 563 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

Empirical analysis of ARMA-GARCH models in market risk estimation on high-freque
5 个回复 - 1098 次查看【作者(必填)】Alexander Beck1 / Young Shin Aaron Kim2 / Svetlozar Rachev3 / Michael Feindt4 / Frank Fabozzi5 【文题(必填)】Empirical analysis of ARMA-GARCH models in market risk estimation on high- ...2016-12-18 15:18 - runman - 求助成功区

为什么我做GARCH模型一直提示Equation or VAR specification is incomplete
4 个回复 - 16116 次查看如题，求助~~2012-5-14 13:37 - maoyiyuan115 - EViews专版

EVIEWS 里univariate GARCH(1，1)的系数都significant,但是ARCH test却不...
2 个回复 - 806 次查看请问univariate GARCH(1，1)的系数都significant,但是ARCH test却不significant, 这种情况下还可以用GARCH(1,1)吗？为什么会这么奇怪呢？谢谢2016-5-29 05:57 - lachance - EViews专版

Price Risk in Supply Equations: An Application of GARCH Time-Series Models to th
1 个回复 - 655 次查看【作者(必填)】Hollt and Aradhyula 【文题(必填)】Price Risk in Supply Equations: An Application of GARCH Time-Series Models to the U. S. Broiler Market 【年份(必填)】1990 【全文链接或数据库名称( ...2016-4-20 17:16 - yangnay - 求助成功区

Residual-based rank specification tests for AR–GARCH type models
2 个回复 - 780 次查看【作者(必填)】 [*]Elena Andreou1, , [*]Bas J.M. Werker 【文题(必填)】 Residual-based rank specification tests for AR–GARCH type models【年份(必填)】 2015 【全文链接或数据库名称(选填)】http:// ...2015-12-7 15:22 - internet.hzx - 求助成功区

Generalized EGARCH Random Effect Models Application to Financial Time Series
1 个回复 - 1063 次查看【作者(必填)】Edilberto Cepeda-Cuervoa* 【文题(必填)】Generalized EGARCH Random Effect Models Application to Financial Time Series 【年份(必填)】2010 【全文链接或数据库名称(选填)】http://www ...2014-7-12 13:21 - lipj - 求助成功区

EmpiricalAnalysis of Stock Index Futures Risk Management Based on CVaR-GARCH-GED
2 个回复 - 1275 次查看【作者(必填)】 [*]Xiao-bo Zhang 【文题(必填)】Empirical Analysis of Stock Index Futures Risk Management Based on CVaR-GARCH-GED Model 【年份(必填)】Proceedings of 20th International Conferenc ...2014-5-21 22:43 - nkky2011 - 求助成功区

A GARCH Option Pricing Model with Filtered Historical Simulation
1 个回复 - 1010 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

20111105 Follow Me 179—Oligarchy, American Style—paul krugman
19 个回复 - 2854 次查看 Op-Ed Columnist Oligarchy, American Style By PAUL KRUGMANPublished: November 3, 2011 Inequality is back in the news, largely thanks to Occupy Wall Street, but with an assist from the Congressional ...2011-11-5 10:39 - kisunchen - 真实世界经济学(含财经时事)

Mgarch Testing the existence and specification
1 个回复 - 2102 次查看 Program for Testing the existence and specification of time varying conditional correlations in MGARCH MODEL 希望大家能下载，解释。 gauss code 来自 Testing the Structure of Conditional Correlatio ...2009-8-28 13:39 - xuelida - Gauss专版

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