ERGODIC PROPERTIES OF PERIODIC INTEGER-VALUED GARCH MODELS

Advances and Applications in Statistics ◽

10.17654/0972361722004 ◽

2022 ◽

Vol 72 (1) ◽

pp. 55-70

Author(s):

Bader S. Almohaimeed

Keyword(s):

Garch Models ◽

Ergodic Properties

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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 ◽

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Ergodic Properties of Algebraic Fields

10.1007/978-3-642-86631-9 ◽

1968 ◽

Author(s):

Yu. V. Linnik

Keyword(s):

Ergodic Properties ◽

Algebraic Fields

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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 ◽

Author(s):

George Levy

Keyword(s):

Garch Models ◽

Asymmetric Garch ◽

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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 ◽

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 ◽

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 ◽

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Dynamic Principal Components: A New Class of Multivariate GARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.2559758 ◽

2015 ◽

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 ◽

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Forecasting Bitcoin Risk with Markov-Switching GARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.3180830 ◽

2018 ◽

Author(s):

David Ardia ◽

Keven Bluteau ◽

Maxime RRede

Keyword(s):

Markov Switching ◽

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Integrated Volatility and UHF-GARCH Models: A Comparison Using High Frequency Financial Data

SSRN Electronic Journal ◽

10.2139/ssrn.498222 ◽

2004 ◽

Author(s):

Alain Coen ◽

Francois-Eric Racicot

Keyword(s):

High Frequency ◽

Financial Data ◽

Garch Models ◽

Integrated Volatility

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