Comparative analysis of three MCMC methods for estimating GARCH models-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Comparative analysis of three MCMC methods for estimating GARCH models

Published:2018-10-09 Issue: Volume:403 Page:012061
ISSN:1757-899X
Container-title:IOP Conference Series: Materials Science and Engineering
language:
Short-container-title:IOP Conf. Ser.: Mater. Sci. Eng.

Author:

Nugroho D B

Publisher

IOP Publishing

Subject

General Medicine

Link

http://stacks.iop.org/1757-899X/403/i=1/a=012061/pdf

Reference41 articles.

1. Forecasting Volatility in Financial Markets: A Review

2. Measuring the Time Varying Volatility of Futures and Options

3. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

4. Generalized autoregressive conditional heteroskedasticity

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. GARCH-X(1; 1) model allowing a non-linear function of the variance to follow an AR(1) process;Communications for Statistical Applications and Methods;2023-03-31

2. Modeling the volatility of FTSE100 index returns using realized GARCH model with jumps;PROCEEDING OF THE 1ST INTERNATIONAL CONFERENCE ON STANDARDIZATION AND METROLOGY (ICONSTAM) 2021;2022

3. GARCH Models under Power Transformed Returns: Empirical Evidence from International Stock Indices;Austrian Journal of Statistics;2021-07-15

4. A Class of Non-Linear AGARCH(1,1) Model in Modeling Volatility of Returns;Journal of Physics: Conference Series;2021-02-01

5. GARCH(1,1) model with the Yeo–Johnson transformed returns;Journal of Physics: Conference Series;2019-10-01

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP