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LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1)
1 个回复 - 351 次查看【作者(必填)】 24234 【文题(必填)】 LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise【年份(必填)】 2324 【全文链接或数据库名称(选填)】https://www.sciencedirec ...2024-1-1 21:00 - internet.hzx - 求助成功区

Identification of structural multivariate GARCH models
2 个回复 - 374 次查看【作者(必填)】 2432 【文题(必填)】 Identification of structural multivariate GARCH models【年份(必填)】 234 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/pii/S030440 ...2024-1-1 21:03 - internet.hzx - 求助成功区

Hybrid quantile estimation for asymmetric power GARCH models
1 个回复 - 357 次查看【作者(必填)】 2323 【文题(必填)】 Hybrid quantile estimation for asymmetric power GARCH models【年份(必填)】 232 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs/p ...2024-1-1 21:01 - internet.hzx - 求助成功区

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
3 个回复 - 369 次查看【作者(必填)】 333 【文题(必填)】A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 【年份(必填)】 333 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley.com/doi/ ...2023-8-25 00:41 - internet.hzx - 求助成功区

时间序列arima models+garch models in R语言实现, arima模型+garch模型
2 个回复 - 1429 次查看时间序列arima models+garch models in R语言实现, arima模型+garch模型金融时间序列分析-I 1序列相关性和 random walk（随机游走） 2平稳时间序列模型-ARMA/ARMA 3非平稳时间序列模型-ARMA/ SARIMA 4.异 ...2021-3-19 15:41 - lily-2021 - 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

Realized GARCH models: Simpler is better
1 个回复 - 293 次查看【作者(必填)】 3 【文题(必填)】 Realized GARCH models: Simpler is better 【年份(必填)】 3 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs/pii/S15446123183083652023-8-25 00:35 - internet.hzx - 求助成功区

Mixed-Frequency GARCH Models--GARCH-MIDAS代码
2 个回复 - 595 次查看 2023-7-18 19:13 - 知希学姐 - 经管代码库

Strict stationarity and mixing properties of asymmetric power GARCH models allow
3 个回复 - 868 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

linear models and time-series analysis - regression, anova, arma and garch 2019
5 个回复 - 1480 次查看 linear models and time-series analysis - regression, anova, arma and garch (2019)2018-11-28 09:45 - loneshark - 数据分析与数据挖掘

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

A conditional-SGT-VaR approach with alternative GARCH models
3 个回复 - 311 次查看【作者(必填)】 77 【文题(必填)】 A conditional-SGT-VaR approach with alternative GARCH models【年份(必填)】 77 【全文链接或数据库名称(选填)】https://linkspringer.53yu.com/article/10.1007/s10479-0 ...2023-1-16 01:30 - internet.hzx - 求助成功区

Bootstrap prediction for returns and volatilities in GARCH models
1 个回复 - 389 次查看【作者(必填)】 23 【文题(必填)】 Bootstrap prediction for returns and volatilities in GARCH models【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs ...2022-11-1 16:11 - internet.hzx - 求助成功区

Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH
5 个回复 - 3805 次查看 Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH Author(s): Marc S. PaolellaSeries: Wiley Series in Probability and StatisticsPublisher: Wiley, Year: 2018ISBN: 1119431905, ...2019-4-15 12:08 - zfk - 计量经济学与统计软件

Forecasting in GARCH models with polynomially modified innovations
1 个回复 - 334 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

Superstitious seasonality in precious metals markets? Evidence from GARCH models
1 个回复 - 566 次查看【作者(必填)】 3 【文题(必填)】 Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis 【年份(必填)】 232 【全文链接或数据库名称 ...2021-6-13 17:24 - internet.hzx - 求助成功区

【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）

求文献1篇：An Implementation of Markov Regime Switching GARCH Models in Matlab
5 个回复 - 809 次查看【作者(必填)】 Chuffart, Thomas 【文题(必填)】 An Implementation of Markov Regime Switching GARCH Models in Matlab 【年份(必填)】 2017 【全文链接或数据库名称(选填)】 https://www.ona ...2020-1-21 00:46 - Monodium - 求助成功区

The Volatility and Density Prediction Performance of Alternative GARCH Models
3 个回复 - 620 次查看【作者(必填)】 12 【文题(必填)】 The Volatility and Density Prediction Performance of Alternative GARCH Models[/backcolor]【年份(必填)】 201 【全文链接或数据库名称(选填)】 http://xueshu.baidu.co ...2020-2-21 17:22 - internet.hzx - 求助成功区

GARCH 101: The use of ARCHGARCH models in applied econometrics
5 个回复 - 2332 次查看 Robert EngleThe Journal of Economic Perspectives; Fall 2001; 15, 4; ABI/INFORM Global2006-12-16 10:12 - jiangzhongyu - 计量经济学与统计软件

Unfolded GARCH models
1 个回复 - 497 次查看【作者(必填)】 sfds 【文题(必填)】 Unfolded GARCH models【年份(必填)】 23 【全文链接或数据库名23称(选填)】https://www.sciencedirect.com/science/article/pii/S01651889150011652019-12-29 00:00 - internet.hzx - 文献求助专区

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

garch models
2 个回复 - 627 次查看 2019-9-26 09:51 - 莫言大道人难得7 - 金融学（理论版）

Markov-Switching GARCH Models in R: The MSGARCH Package
9 个回复 - 2962 次查看 Markov-switching GARCH models have become popular to model the structural break in the conditional variance dynamics of financial time series. In this paper, we describe the R package MSGARCH whic ...2017-6-13 20:46 - jogging18 - R语言论坛

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

求tandfonline文献一篇：Asymmetry and leverage in GARCH models: a News Impact...
1 个回复 - 470 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

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）

求Conditional Quantile Estimation for GARCH Models的代码
4 个回复 - 1107 次查看最近在看Conditional Quantile Estimation for GARCH Models，有谁知道这篇文章的代码？1000论坛币急求！！！！2014-6-23 10:18 - kkcsj555 - 爱问频道

On change point test for ARMA–GARCH models: Bootstrap approach
1 个回复 - 442 次查看【作者(必填)】 On change point test for ARMA–GARCH models: Bootstrap approach【文题(必填)】【年份(必填)】【全文链接或数据库名称(选填)】2019-3-4 10:51 - 肖恩同学 - 求助成功区

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

Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
1 个回复 - 741 次查看【作者(必填)】 Yong 【文题(必填)】 Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models【年份(必填)】 2017 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi/a ...2018-8-13 22:17 - internet.hzx - 求助成功区

On spatial contagion and multivariate GARCH models
3 个回复 - 470 次查看【作者(必填)】 P Jaworski， M Pitera 【文题(必填)】 On spatial contagion and multivariate GARCH models【年份(必填)】 2014 【全文链接或数据库名称(选填)】http://xueshu.baidu.com/s?wd=paperuri%3A%28 ...2018-7-22 15:55 - internet.hzx - 求助成功区

On spatial contagion and multivariate GARCH models
2 个回复 - 420 次查看【作者(必填)】 P Jaworski， M Pitera 【文题(必填)】 On spatial contagion and multivariate GARCH models【年份(必填)】 2014 【全文链接或数据库名称(选填)】http://xueshu.baidu.com/s?wd=paperuri%3A%28 ...2018-7-22 12:41 - internet.hzx - 求助成功区

Monitoring distributional changes of squared residuals in GARCH models
1 个回复 - 444 次查看【作者(必填)】 Fuxiao Li[/backcolor], Fuxiao Li[/backcolor], Zheng Tian[/backcolor], Zhanshou Chen[/backcolor] & Peiyan Qi[/backcolor] Communications in Statistics - Theory and Methods[/backcolor], ...2018-3-3 10:32 - 肖恩同学 - 求助成功区

Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Si
2 个回复 - 613 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

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

Haas+A New Approach to Markov-Switching GARCH Models
1 个回复 - 775 次查看【作者(必填)】Haas M, Mittnik S, Paolella MS 【文题(必填)】A New Approach to Markov-Switching GARCH Models 【年份(必填)】2004 【全文链接或数据库名称(选填)】2017-9-21 07:24 - harlon1976 - 求助成功区

Bootstrapping Stationary ARMA-GARCH Models
27 个回复 - 1213 次查看 English | PDF | 2010 | 137 Pages | ISBN : 3834809926 | 874kB Bootstrap technique is a useful tool for assessing uncertainty in statistical estimation and thus it is widely applied for risk manage ...2017-8-19 22:30 - igs816 - 经管书评

求：Impulse Response Function for Conditional Volatility in GARCH Models
2 个回复 - 739 次查看题目：Impulse Response Function for Conditional Volatility in GARCH Models 作者：Wen-Ling Lin 期刊：Journal of Business & Economic Statistics Volume 15, 1997 - Issue 1 连接：http://www.tandfonline ...2017-8-27 08:05 - daodaory - 悬赏大厅

Option pricing under GARCH models with Hansen's skewed-
2 个回复 - 952 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

GARCH models
3 个回复 - 2054 次查看 GARCH models—structure，statistical inference and financial applications CONTENT 1.Classical Time Series Models and Financial Series 2.GARCH(p,q) Processes 3.Mixing 4.Temporal Aggregatio ...2015-1-23 17:56 - accumulation - 金融学（理论版）

Structural Breaks and Garch Models of Exchange Rate Volatility
1 个回复 - 927 次查看【作者(必填)】David E. Rapach and Jack K. Strauss 【文题(必填)】Structural Breaks and Garch Models of Exchange Rate Volatility 【年份(必填)】2008 【全文链接或数据库名称(选填)】2017-4-20 21:47 - 豁达统计人 - 求助成功区

Dueker JBES 1997 MS-GARCH models using Winrats
4 个回复 - 3098 次查看 Dueker JBES 1997 MS-GARCH modelsby TomDoan » Mon Sep 12, 2011 1:30 pm[/backcolor]These are replication files for Dueker(1997), "Markov Switching in GARCH Processes and Mean-Reverting Stock-Mark ...2014-6-23 23:57 - 东西方咨询 - MATLAB等数学软件专版

Forecasting Stock Market Volatility with Regime-Switching GARCH Models
15 个回复 - 1778 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

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

Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibb
1 个回复 - 1098 次查看【作者(必填)】Qiang Xia, Heung Wong, Jinshan Liu, Rubing Liang 【文题(必填)】Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach 【年份(必填)】2016 ...2016-6-9 21:59 - 我来了 - 求助成功区

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

Inhomogeneous Jump-GARCH Models
2 个回复 - 1636 次查看【作者(必填)】Chunhang Chen 【文题(必填)】Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis 【年份(必填)】【全文链接或数据库名称(选填)】http://xueshu.baidu.co ...2016-1-10 09:55 - 不再后悔 - 求助成功区

Test for parameter change in ARMA models with GARCH innovations
3 个回复 - 721 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 - 657 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

Testing for parameter constancy in GARCH(p,q) models
2 个回复 - 812 次查看 Testing for parameter constancy in GARCH(p,q) models2015-12-12 16:31 - lucky187 - 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

Forecasting Volatilities and Correlations with EGARCH Models
2 个回复 - 1213 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 - 676 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

GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium
5 个回复 - 2075 次查看【作者(必填)】 [*]Jinji Hao [*]Department of Economics, Washington University in St. Louis [*]Jin E. Zhang 【文题(必填)】GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Prem ...2014-4-8 22:06 - nkky2011 - 求助成功区

Varying conditional correlation multivariate GARCH models
7 个回复 - 2406 次查看 . webuse stocks (Data from Yahoo! Finance) . mgarch vcc (toyota nissan honda = L.toyota L.nissan L.honda, noconstant), arch(1) garch(1) Calculating starting values.... Optimizing log likelih ...2012-10-24 21:04 - tulipsliu - Stata专版

Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS
0 个回复 - 1447 次查看【作者(必填)】Chen-Ye Changa, Xi-Yuan Qiana* & Sheng-Yuan Jiana 【文题(必填)】Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS 【年份(必填)】2012 【全文链接或数据库名称 ...2014-8-13 21:50 - lipj - 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

[疑难杂症]Is it possible to estimate ARIMA-GARCH models in WinBugs
1 个回复 - 904 次查看 First of all, It is possible to estimate ARIMA-GARCH models in WinBugs, but, there are a few problems: 1. If a model has a lot of latent variables, WinBugs will be slow, sometimes It will even free ...2014-6-15 06:24 - Nicolle - winbugs及其他软件专版

GARCH Option Pricing Models
1 个回复 - 1855 次查看 GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium[/backcolor] [/backcolor] VIX应用[/backcolor] [/backcolor]2014-4-8 22:15 - zhangibt - 金融工程（数量金融）与金融衍生品

(free)Financial Risk Management with Bayesian Estimation of GARCH Models
21 个回复 - 5247 次查看 ~~~~~~~~~~~~~2009-8-13 06:16 - yhongl12 - 金融学（理论版）

Performance of GARCH models in forecasting stock market volatility
1 个回复 - 933 次查看【作者(必填)】 [*]Choo Wei Chong*, [*]Muhammad Idrees Ahmad and [*]Mat Yusoff Abdullah 【文题(必填)】Performance of GARCH models in forecasting stock market volatility 【年份(必填)】1999 ...2014-4-2 12:13 - 迷途mitu - 求助成功区

Multivariate GARCH models -- software choice and estimation issues
2 个回复 - 1762 次查看 Multivariate GARCH models -- software choice and estimation issues2010-2-11 14:22 - hardmann - EViews专版

GARCH models using R - book and website
20 个回复 - 7108 次查看刚才上载在金融版上两本Wiley2010新书, ARCH Models for Financial Applications and GARCH Models ... 对第二本书, 顺便上了上作者的网站 http://perso.univ-lille3.fr/~cfrancq/Christian-Francq/book-GARCH.h ...2010-10-22 04:15 - lanxyn - R语言论坛

Multivariate GARCH Models (Luc Bauwens) (PDF)
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