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GARCH parameter estimation using high-frequency data

Visser, Marcel P. - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 162-197

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Bayesian estimation for high-frequency volatility models in a time deformed framework

Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479

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Data cloning estimation for asymmetric stochastic volatility models

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Regime changes in Bitcoin GARCH volatility dynamics

Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271

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Procyclicality mitigation for initial margin models with asymmetric volatility

Goldman, Elena; Shen, Xiangjin - In: Journal of risk 22 (2019/2020) 5, pp. 1-41

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Functional GARCH models : the quasi-likelihood approach and its applications

Cerovecki, Clément; Francq, Christian; Hörmann, Siegfried - In: Journal of econometrics 209 (2019) 2, pp. 353-375

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Estimating time-varying volatility in consumer prices in rwanda : application of GARCH models

Maniraguha, Faustin; Karangwa, Mathias; Mwenese, Bruno; … - In: BNR economic review (2019) 14, pp. 53-75

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Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals

Chen, Jie; Politis, Dimitris N. - In: Journal of time series econometrics 12 (2020) 2, pp. 1-36

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Modeling the volatility of exchange rates: GARCH Models

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Accelerating GARCH and score-driven models : optimality, estimation and forecasting

Blasques, Francisco F.; Gorgi, Paolo; Koopman, Siem Jan S.J. - 2017

allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the …-return replaced by the product of the volatility innovation and its lagged value. This local estimate of the first order … autocorrelation of volatility innovations acts as an indicator of the importance of the squared-return for volatility updating. When …

Persistent link: https://www.econbiz.de/10011688512