on Giamouridis and Vrontos (2007), a broad set of multivariate GARCH models, as well as, the simpler exponentially … weighted moving average (EWMA) estimator of RiskMetrics (1996) are considered. It is found that, while multivariate GARCH … is modelled using extreme value theory and the joint density of hedge fund index returns is constructed using a copula …

-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …

Hilfe der Fuzzy-Set Theorie und einem wissensbasierten System qualitative Risikoinformationen erfasst und einer … Monte Carlo simulation is particularly difficult. The second article presents how the fuzzy-set theory allows these factors …

practitioners. The GARCH model has been exceptionally successful in this area. Our approach, the minimally cross …-entropic conditional density (MCECD) model, is a generalization of GARCH(1,1) which can cope with conditional skewness and kurtosis. It is …

two conditional moments of univariate traffic flow series can be modeled as a SARIMA+GARCH structure, based on which an … smoothing; the local variation is processed using Kalman filter by constructing a state space model. Afterwards, GARCH model is … processed using Kalman filter based on the recognition that GARCH has an equivalent representation as ARMA in the sense of …

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

-exciting threshold autoregressive model (SETAR) with a non-stationary central band and explicit modelling of the conditional variance …

cured fraction. Chapters 1 and 2 propose parametric and semiparametric estimation procedures for this cure rate AFT model … part because interval-censored data have a more complex censoring mechanism and because the counting process theory … associated with interval-censored data, recent estimation strategies have focused on the implementation rather than the large …