搜索结果: 1-5 共查到“理论统计学 GARCH”相关记录5条 . 查询时间(0.078 秒)
Weighted bootstrap in GARCH models
asymptotic distribution bootstrap confidence region,GARCH model quasi maximum likelihood
2012/11/22
GARCH models are useful tools in the investigation of phenomena, where volatility changes are prominent features, like most financial data. The parameter estimation via quasi maximum likelihood (QMLE)...
Non-Gaussian Quasi Maximum Likelihood Estimation of GARCH Models
Non-Gaussian Quasi Maximum Likelihood Estimation GARCH Models
2010/3/9
The non-Gaussian quasi maximum likelihood estimator is frequently used
in GARCH models with intension to improve the efficiency of the GARCH
parameters. However, the method is usually inconsistent u...
Dependence structure of stable R-GARCH processes
Dependence structure stable R-GARCH processes
2009/9/21
In this pper we invastipte properties of R-GARCH
procmses with ppositivr: steictcrly stab innovations. We derive the uzxconditiond
distributions and analyze the dependcect: structure;. This
at3alys...
DATA-DRIVEN SCORE TEST OF FIT FOR CONDITIONAL DISTRIBUTION IN THE GARCH(l,l) MODEL
GARCH(1,l) model noise distribution efficient score vector score test BIC Schwarz selection rule
2009/9/18
A data-driven score test for a conditional distribution
in the GARCH(1,l) model is proposed. Conditional distribution assumption
is verified by a score test, obtained from nesting the null
density ...
THE MODIFIED TEMPERED STABLE DISTRIBUTION, GARCH MODELS AND OPTION PRICING
Option pricing GARCH process tempered stable distribution volatility clustering
2009/9/18
We introduce a new variant of the tempered stable distribution,
named the modified tempered stable (MTS) distribution and we develop
a GARCH option pricing model with MTS innovations. This model
al...