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Long memory with Markov-Switching GARCH
Krämer, Walter - 2008
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one. …
Persistent link: https://www.econbiz.de/10010264309
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Valid inference for a class of models where standard inference performs poorly: Including nonlinear regression, ARMA, GARCH, and unobserved components
Ma, Jun; Nelson, Charles R. - 2010
Pagan (1980)., We show that this test has nearly correct size in non-linear regression, ARMA, GARCH, and Unobserved …
Persistent link: https://www.econbiz.de/10010294011
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Semiparametric multivariate volatility models
Rombouts, Jeroen V. K.; Hafner, Christian M. - 2004
Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which consistency and asymptotic normality have been proven under quite general conditions. However, there may be a substantial efficiency loss of QMLE if the true innovation distribution...
Persistent link: https://www.econbiz.de/10010296410
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Pricing of options under different volatility models
Herzberg, Markus; Sibbertsen, Philipp - 2004
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...
Persistent link: https://www.econbiz.de/10010296646
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The convergence of optimization based estimators : theory and application to a GARCH-model
Winker, Peter; Maringer, Dietmar - 2005
application to a GARCH-model demonstrates the approach in practice by estimating actual rates of convergence through a large scale …
Persistent link: https://www.econbiz.de/10010297265
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Volatilitätseffekte am US-amerikanischen Häusermarkt
Schindler, Felix - 2009
Renditeverteilung existieren und sich überwiegend auch ein Leverage-Effekt identifizieren lässt. Durch eine ARMA-GARCH …
Persistent link: https://www.econbiz.de/10010299182
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Models for time-varying moments using maximum entropy applied to a generalized measure of volatility
Herrmann, Klaus - 2008
We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for …
Persistent link: https://www.econbiz.de/10010299748
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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
Herrmann, Klaus - 2009
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10010299757
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Stationarity and the existence of moments of a family of GARCH processes
Ling, Shiqing; MacAleer, Michael - 2001
This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for … solution is strictly stationary and ergodic, and the causal expansion of the family of GARCH processes is also established …
Persistent link: https://www.econbiz.de/10010332324
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Evaluating exponential GARCH models
Malmsten, Hans - 2004
testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated …
Persistent link: https://www.econbiz.de/10010281223