Similar Search Results - EconBiz

A multivariate asymmetric long memory conditional volatility model with x, regularity and asymptotics

Asai, Manabu; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011541169

Weak diffusion limits of dynamic conditional correlation models

Hafner, Christian M.; Laurent, Sébastien; Violante, … - 2016

Persistent link: https://www.econbiz.de/10011589493

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

Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model

Silvennoinen, Annastiina; Teräsvirta, Timo - 2017

Persistent link: https://www.econbiz.de/10011721042

Bayesian analysis of power-transformed and threshold GARCH models : a Griddy-Gibbs sampler approach

Xia, Qiang; Wong, Heung; Liu, Jinshan; Liang, Rubing - In: Computational economics 50 (2017) 3, pp. 353-372

Persistent link: https://www.econbiz.de/10011783316

Asymptotic theory for the QMLE in GARCH-X models with stationary and nonstationary covariates

Han, Heejoon; Kristensen, Dennis - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 416-429

Persistent link: https://www.econbiz.de/10010488481

Quasi-maximum likelihood estimation of GARCH models with heavy-tailed likelihoods

Fan, Jianqing; Qi, Lei; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 178-205

Persistent link: https://www.econbiz.de/10010488571

Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility

Kim, Dukpa - In: Economics letters 123 (2014) 3, pp. 282-286

Persistent link: https://www.econbiz.de/10010401375

A Tobit model with GARCH errors

Calzolari, Giorgio; Fiorentini, Gabriele - 1997 - 1. ed

Persistent link: https://www.econbiz.de/10000960186

Essays on Random Effects models and GARCH

Skoglund, Jimmy - 2001

Persistent link: https://www.econbiz.de/10001565684

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