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Boswijk, Herman Peter; Weide, Roy van der - 2006

In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is...

Persistent link: https://www.econbiz.de/10011349722

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

Exponential-type GARCH models with linear-in-variance risk premium

Hafner, Christian M.; Kyriakopoulou, Dimitra - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 589-603

Persistent link: https://www.econbiz.de/10012499104

Nonstationary GARCH with tt-distributed innovations

Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: Economics letters 138 (2016), pp. 19-21

Persistent link: https://www.econbiz.de/10011615340

GARCH modelling of cryptocurrencies

Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; … - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-15

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...

Persistent link: https://www.econbiz.de/10011854856