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A survey of recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Papers in efficiency, effectiveness and international …, (pp. 128-153). 2000

Persistent link: https://www.econbiz.de/10001684387

ARCH models and an application on exchange rate volatility : ARCH and GARCH models

Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021

by nonlinear methods. This chapter discusses the GARCH models (GARCH, GJR, EGARCH), which are nonlinear models, and tests … indicated that the GARCH (1,1) model successfully explained the volatility in the exchange rate. …

Persistent link: https://www.econbiz.de/10012604258

Forecasting and backtesting of market risks in emerging markets

Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021

-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH …

Persistent link: https://www.econbiz.de/10012591721

Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...

Persistent link: https://www.econbiz.de/10010491085

Noncausal autoregressive model in application to bitcoin/USD exchange rates

Hencic, Andrew; Gouriéroux, Christian - In: Econometrics of risk, (pp. 17-40). 2015

Persistent link: https://www.econbiz.de/10010498586

Performance of autoregressive tree model in forecasting cancer patients

Kaur, Sukhpal; Rakshit, Madhuchanda - In: Strategic system assurance and business analytics, (pp. 187-200). 2020

Persistent link: https://www.econbiz.de/10012240951

Predictive recursion maximum likelihood of threshold autoregressive model

Pathairat Pastpipatkul; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 349-362). 2017

Persistent link: https://www.econbiz.de/10011801427

Temporal clustering of time series via threshold autoregressive models : application to commodity prices

Aslan, Sipan; Yozgatligil, Ceylan; Iyigun, Cem - In: Advances of OR in commodities and financial modeling, (pp. 51-77). 2018

Persistent link: https://www.econbiz.de/10011871338

Fujiwara, Yoshi; Fujisaka, Hirokazu - In: Empirical science of financial fluctuations : the …, (pp. [186]-194). 2002

Persistent link: https://www.econbiz.de/10001679484

Autoregressive models with sample selectivity for panel data

Arellano, Manuel; Bover, Olympia; Labeaga, José M. - In: Analysis of panels and limited dependent variable …, (pp. 23-48). 1999

Persistent link: https://www.econbiz.de/10001445095

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