Showing 1 - 10 of 290
Persistent link: https://www.econbiz.de/10011875287
find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We …
Persistent link: https://www.econbiz.de/10010292775
Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular … of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of …
Persistent link: https://www.econbiz.de/10011933956
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
As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to...
Persistent link: https://www.econbiz.de/10010270708
Persistent link: https://www.econbiz.de/10009449118
advances on inference and large sample properties of the PSE estimators, which include (1) consistency and convergence rates of …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. …
Persistent link: https://www.econbiz.de/10010288336
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …
Persistent link: https://www.econbiz.de/10010290338
Persistent link: https://www.econbiz.de/10003641700
Persistent link: https://www.econbiz.de/10003354675