搜索结果: 1-4 共查到“统计学 GARCH Models”相关记录4条 . 查询时间(0.069 秒)
Weighted bootstrap in GARCH models
asymptotic distribution bootstrap confidence region,GARCH model quasi maximum likelihood
2012/11/22
GARCH models are useful tools in the investigation of phenomena, where volatility changes are prominent features, like most financial data. The parameter estimation via quasi maximum likelihood (QMLE)...
Non-Gaussian Quasi Maximum Likelihood Estimation of GARCH Models
Non-Gaussian Quasi Maximum Likelihood Estimation GARCH Models
2010/3/9
The non-Gaussian quasi maximum likelihood estimator is frequently used
in GARCH models with intension to improve the efficiency of the GARCH
parameters. However, the method is usually inconsistent u...
THE MODIFIED TEMPERED STABLE DISTRIBUTION, GARCH MODELS AND OPTION PRICING
Option pricing GARCH process tempered stable distribution volatility clustering
2009/9/18
We introduce a new variant of the tempered stable distribution,
named the modified tempered stable (MTS) distribution and we develop
a GARCH option pricing model with MTS innovations. This model
al...
Comparison of MCMC Methods for Estimating GARCH Models
Bayesian inference GARCH Gibbs sampler Markov chain Monte Carlo Metropolis-Hastings algorithm
2009/3/6
This paper reviews several MCMC methods for estimating the class of ARCH models, and compare performances of them. With respect to the mixing, efficiency and computational requirement of the MCMC, thi...