scholarly journals The Specification of GARCH Models with Stochastic Covariates

2006 ◽  
Author(s):  
Jeff Fleming ◽  
Chris Kirby ◽  
Barbara Ostdiek
Keyword(s):  
Garch Models ◽  
Stochastic Covariates

scholarly journals The specification of GARCH models with stochastic covariates

2008 ◽  
Vol 28 (10) ◽  
pp. 911-934 ◽  
Author(s):  
Jeff Fleming ◽  
Chris Kirby ◽  
Barbara Ostdiek
Keyword(s):  
Garch Models ◽  
Stochastic Covariates

DCC-Garch Models Using Islamic Market and European Market Indices

2017 ◽  
Vol 04 ◽  
pp. 01-20
Author(s):  
Sabbah Gueddoudj ◽  
Keyword(s):  
European Market ◽  
Garch Models

Analytic derivatives of asymmetric Garch models

2003 ◽  
Vol 6 (3) ◽  
pp. 21-63 ◽  
Author(s):  
George Levy
Keyword(s):  
Garch Models ◽  
Asymmetric Garch ◽  
Derivatives Of

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

2004 ◽  
Vol 6 (3) ◽  
pp. 27-52 ◽  
Author(s):  
J Venter ◽  
P de Jongh
Keyword(s):  
Garch Models ◽  
Volatility Estimation ◽  
Improve Efficiency

Dynamic Principal Components: A New Class of Multivariate GARCH Models

2015 ◽  
Author(s):  
Gian Piero Aielli ◽  
Massimiliano Caporin
Keyword(s):  
Principal Components ◽  
Multivariate Garch ◽  
Garch Models ◽  
New Class ◽  
Multivariate Garch Models

Forecasting Bitcoin Risk with Markov-Switching GARCH Models

2018 ◽  
Author(s):  
David Ardia ◽  
Keven Bluteau ◽  
Maxime RRede
Keyword(s):  
Markov Switching ◽  
Garch Models

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

2004 ◽  
Author(s):  
Alain Coen ◽  
Francois-Eric Racicot
Keyword(s):  
High Frequency ◽  
Financial Data ◽  
Garch Models ◽  
Integrated Volatility
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