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A new variant of RealGARCH for volatility modeling

Xie, Haibin; Qi, Nan; Wang, Shouyang - In: Finance research letters 28 (2019), pp. 438-443

Persistent link: https://www.econbiz.de/10012388363

Minimally cross-entropic conditional density : a generalization of the GARCH model

Scherer, Matthias - 2011

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 …

Persistent link: https://www.econbiz.de/10009434643

Long memory with Markov-Switching GARCH

Krämer, Walter (contributor) - 2008

Persistent link: https://www.econbiz.de/10003641700

The pareto stable distribution as a hypothesis for returns of stocks listed in the DAX

Höchstötter, Markus - 2006

Persistent link: https://www.econbiz.de/10003354675

Tests of stochastic dominance for time series data : theory and empirical application

Kläver, Hendrik - 2006

bivariaten GARCH (1,1), der bezüglich Anpassung und Vorhersage gut für Finanzmarktdaten geeignet ist. Um einen Eindruck über den … inferenzstatistische Methoden für Erwartungswerte und Varianzen. Es zeigt sich, dass Varianzprozeduren durch GARCH (1,1) stark beeinflusst …