On the choice of a genetic algorithm for estimating GARCH models
Year of publication: |
October 2016
|
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Authors: | Rizzo, Manuel ; Battaglia, Francesco |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 48.2016, 3, p. 473-485
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Subject: | Evolutionary computation | Conditional heteroscedasticity | Parameter estimation | Restarts | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Evolutionärer Algorithmus | Evolutionary algorithm | Mathematische Optimierung | Mathematical programming | Heteroskedastizität | Heteroscedasticity |
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