Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation

2021 ◽  
pp. 370-387
Author(s):  
Yinan Li ◽  
Fang Liu
Keyword(s):  
Continuous Time ◽  
Markov Switching ◽  
Volatility Estimation ◽  
Garch Process ◽  
State Path

scholarly journals A NOTE ON (SPIN-) COHERENT-STATE PATH INTEGRAL

1999 ◽  
Vol 13 (02) ◽  
pp. 107-140 ◽  
Author(s):  
JUNYA SHIBATA ◽  
SHIN TAKAGI
Keyword(s):  
Coherent State ◽  
Path Integral ◽  
Continuous Time ◽  
Classical Level ◽  
Classical Action ◽  
Single Spin ◽  
Spin Coherent State ◽  
Classical Path ◽  
Time Formalism ◽  
State Path

It is pointed out that there are some fundamental difficulties with the frequently used continuous-time formalism of the spin-coherent-state path integral. They arise already in a single-spin system and at the level of the "classical action" not to speak of fluctuations around the "classical path". Similar difficulties turn out to be present in the case of the (boson-)coherent-state path integral as well; although partially circumventable by an ingenious trick (Klauder's ∊-prescription) at the "classical level", they manifest themselves at the level of fluctuations. Detailed analysis of the origin of these difficulties makes it clear that the only way of avoiding them is to work with the proper discrete-time formalism. The thesis is explicitly illustrated with a harmonic oscillator and a spin under a constant magnetic field.

scholarly journals Volatility estimation for cryptocurrencies using Markov-switching GARCH models

2019 ◽  
Vol 7 (1) ◽  
pp. 1
Author(s):  
Paulo Vitor Jordao Da Gama Silva ◽  
Marcelo Cabus Klotzle ◽  
Antonio Carlos Figueiredo Pinto ◽  
Leonardo Lima Gomes
Keyword(s):  
Markov Switching ◽  
Garch Models ◽  
Volatility Estimation

scholarly journals An Exponential Continuous-Time GARCH Process

2007 ◽  
Vol 44 (04) ◽  
pp. 960-976 ◽  
Author(s):  
Stephan Haug ◽  
Claudia Czado
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Leverage Effect ◽  
New Model ◽  
Time Extension ◽  
Garch Process

In this paper we introduce an exponential continuous-time GARCH(p, q) process. It is defined in such a way that it is a continuous-time extension of the discrete-time EGARCH(p, q) process. We investigate stationarity, mixing, and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous-time GARCH(p, p) model.

scholarly journals An Exponential Continuous-Time GARCH Process

2007 ◽  
Vol 44 (4) ◽  
pp. 960-976 ◽  
Author(s):  
Stephan Haug ◽  
Claudia Czado
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Leverage Effect ◽  
New Model ◽  
Time Extension ◽  
Garch Process

In this paper we introduce an exponential continuous-time GARCH(p, q) process. It is defined in such a way that it is a continuous-time extension of the discrete-time EGARCH(p, q) process. We investigate stationarity, mixing, and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous-time GARCH(p, p) model.

Sign in / Sign up

Export Citation Format

Share Document