Optimizing the Garch Model–An Application of Two Global and Two Local Search Methods-Reference-Cited by-同舟云学术

Optimizing the Garch Model–An Application of Two Global and Two Local Search Methods

Published:2006-09-26 Issue:3 Volume:28 Page:277-290
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Adanu Kwami

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-006-9048-0.pdf

Reference8 articles.

1. Doornik, J.A. (2000). Multimodality and the GARCH likelihood. A Paper Presented at The World Conference of Econometric Society.

2. Holland, J. (1992). Adaptation in Natural and Artificial Systems, 2nd edition. MIT Press.

3. Houck, C., Joines, J. and Kay, M. (1996). A Genetic Algorithm for Function Optimization: A Matlab Implementation. ACM Transactions on Mathematical Software.

4. Jerrel, M. (2000). Applications of Public Domain Global Optimization Software to Difficult Econometric Functions. Computing in Economics and Finance, No. 161.

5. Lagarias, J.C., Reeds, J.A., Wright, M.H. and Wright, P.E. (1998). Convergence Properties of the Nelder-Mead Simplex Method in Low Dimensions. SIAM Journal of Optimization, 9(1), 112–147.

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