Parameter change tests for ARMA–GARCH models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2017.12.002 ◽

2018 ◽

Vol 121 ◽

pp. 41-56 ◽

Cited By ~ 10

Author(s):

Junmo Song ◽

Jiwon Kang

Keyword(s):

Garch Models ◽

Parameter Change

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Residual Based Cusum Test for Parameter Change in AR-GARCH Models

Modeling Dependence in Econometrics - Advances in Intelligent Systems and Computing ◽

10.1007/978-3-319-03395-2_6 ◽

2014 ◽

pp. 101-111 ◽

Cited By ~ 4

Author(s):

Sangyeol Lee ◽

Jiyeon Lee

Keyword(s):

Garch Models ◽

Cusum Test ◽

Parameter Change ◽

Test For Parameter Change

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On Jarque–Bera normality and cusum parameter change tests for BCTT-GARCH models

Economics Letters ◽

10.1016/j.econlet.2013.01.013 ◽

2013 ◽

Vol 119 (1) ◽

pp. 50-54 ◽

Cited By ~ 1

Author(s):

Taewook Lee

Keyword(s):

Garch Models ◽

Parameter Change

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DCC-Garch Models Using Islamic Market and European Market Indices

Islamic Banking and Finance Review ◽

10.32350/ibfr.2017.04.01 ◽

2017 ◽

Vol 04 ◽

pp. 01-20

Author(s):

Sabbah Gueddoudj ◽

Keyword(s):

European Market ◽

Garch Models

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Faculty Opinions recommendation of Adaptation without parameter change: Dynamic gain control in motion detection.

Faculty Opinions – Post-Publication Peer Review of the Biomedical Literature ◽

10.3410/f.1026895.327460 ◽

2005 ◽

Author(s):

Matteo Carandini

Keyword(s):

Motion Detection ◽

Gain Control ◽

Parameter Change ◽

Change Dynamic ◽

Dynamic Gain

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Analytic derivatives of asymmetric Garch models

The Journal of Computational Finance ◽

10.21314/jcf.2003.106 ◽

2003 ◽

Vol 6 (3) ◽

pp. 21-63 ◽

Cited By ~ 1

Author(s):

George Levy

Keyword(s):

Garch Models ◽

Asymmetric Garch ◽

Derivatives Of

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Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation

The Journal of Risk ◽

10.21314/jor.2004.091 ◽

2004 ◽

Vol 6 (3) ◽

pp. 27-52 ◽

Cited By ~ 10

Author(s):

J Venter ◽

P de Jongh

Keyword(s):

Garch Models ◽

Volatility Estimation ◽

Improve Efficiency

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Calendar Anomalies in Athens Exchange Stock Market - An Application of GARCH Models and the Neural Network Radial Basis Function

SSRN Electronic Journal ◽

10.2139/ssrn.1264970 ◽

2008 ◽

Cited By ~ 1

Author(s):

Eleftherios Giovanis

Keyword(s):

Neural Network ◽

Stock Market ◽

Radial Basis Function ◽

Basis Function ◽

Garch Models ◽

The Neural Network ◽

Radial Basis ◽

Calendar Anomalies

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Determining Historical Volatility in Emerging Markets Using Advanced GARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.2140647 ◽

2012 ◽

Author(s):

Bhaskar Sinha

Keyword(s):

Emerging Markets ◽

Garch Models

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Dynamic Principal Components: A New Class of Multivariate GARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.2559758 ◽

2015 ◽

Cited By ~ 1

Author(s):

Gian Piero Aielli ◽

Massimiliano Caporin

Keyword(s):

Principal Components ◽

Multivariate Garch ◽

Garch Models ◽

New Class ◽

Multivariate Garch Models

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Volatilidade Dos ndices De AAAes Mid-Large Cap E Small Cap: Uma Investigaaao A Partir De Modelos ARIMA/GARCH (Volatility of Stock Index Mid-Large Cap and Small Cap: An Investigation from ARIMA/GARCH Models)

SSRN Electronic Journal ◽

10.2139/ssrn.2589321 ◽

2014 ◽

Author(s):

Israel J S Felipe ◽

Anderson Luiz Mol

Keyword(s):

Stock Index ◽

Garch Models

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