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Author : F. Comte
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (489 download)
Download or read book Asymptotic Theory for Multivariate GARCH Processes written by F. Comte and published by . This book was released on 2001 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Manabu Asai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (959 download)
Download or read book Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes written by Manabu Asai and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Weibin Jiang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Asymptotic Theory of General Multivariate GARCH Models written by Weibin Jiang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time series, which makes the application of multivariate models a necessity. Unfortunately the asymptotic theory of the multivariate GARCH models is far from coherent since many algorithms on the univariate case do not extend to multivariate models naturally. This thesis studies the asymptotic theory of the QMLE under mild conditions. We give some counterexamples for the parameter identifiability result in Jeantheau [1998] and provide a better necessary and sufficient condition. We prove the ergodicity of the conditional variance process on an application of theorems by Meyn and Tweedie [2009]. Under those conditions, the consistency and asymptotic normality of the QMLE can be proved by the standard compactness argument and Taylor expansion of the score function. We also give numeric example on verifying the assumptions and the scaling issue when estimating GARCH parameters in S+ FinMetrics.
Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119313481
Total Pages : 714 pages
Book Rating : 4.1/5 (193 download)
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2019-03-21 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Author : Weiwei Liu
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.:/5 (16 download)
Download or read book Asymptotic Theory for GARCH-in-mean Models written by Weiwei Liu and published by . This book was released on 2013 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: The GARCH-in-mean process is an important extension of the standard GARCH (generalized autoregressive conditional heteroscedastic) process and it has wide applications in economics and finance. The parameter estimation of GARCH type models usually involves the quasi-maximum likelihood (QML) technique as it produces consistent and asymptotically Gaussian distributed estimators under certain regularity conditions. For a pure GARCH model, such conditions were already found with asymptotic properties of its QML estimator well understood. However, when it comes to GARCH-in-mean models those properties are still largely unknown. The focus of this work is to establish a set of conditions under which the QML estimator of GARCH-in-mean models will have the desired asymptotic properties. Some general Markov model tools are applied to derive the result.
Author : T. L. Lai
Publisher :
ISBN 13 :
Total Pages : 560 pages
Book Rating : 4.3/5 (91 download)
Download or read book Asymptotic Theory in Probability and Statistics with Applications written by T. L. Lai and published by . This book was released on 2008 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents a collection of 18 papers, many of which are surveys, on asymptotic theory in probability and statistics, with applications to a variety of problems. This volume comprises three parts: limit theorems, statistics and applications, and mathematical finance and insurance. It is suitable for graduate students in probability and statistics.
Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author : Masanobu Taniguchi
Publisher : Springer Science & Business Media
ISBN 13 : 146123154X
Total Pages : 169 pages
Book Rating : 4.4/5 (612 download)
Download or read book Higher Order Asymptotic Theory for Time Series Analysis written by Masanobu Taniguchi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: The initial basis of this book was a series of my research papers, that I listed in References. I have many people to thank for the book's existence. Regarding higher order asymptotic efficiency I thank Professors Kei Takeuchi and M. Akahira for their many comments. I used their concept of efficiency for time series analysis. During the summer of 1983, I had an opportunity to visit The Australian National University, and could elucidate the third-order asymptotics of some estimators. I express my sincere thanks to Professor E.J. Hannan for his warmest encouragement and kindness. Multivariate time series analysis seems an important topic. In 1986 I visited Center for Mul tivariate Analysis, University of Pittsburgh. I received a lot of impact from multivariate analysis, and applied many multivariate methods to the higher order asymptotic theory of vector time series. I am very grateful to the late Professor P.R. Krishnaiah for his cooperation and kindness. In Japan my research was mainly performed in Hiroshima University. There is a research group of statisticians who are interested in the asymptotic expansions in statistics. Throughout this book I often used the asymptotic expansion techniques. I thank all the members of this group, especially Professors Y. Fujikoshi and K. Maekawa foItheir helpful discussion. When I was a student of Osaka University I learned multivariate analysis and time series analysis from Professors Masashi Okamoto and T. Nagai, respectively. It is a pleasure to thank them for giving me much of research background.
Author : Christian M. Hafner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (255 download)
Download or read book Asymptotic Theory for a Factor GARCH Model written by Christian M. Hafner and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kazuhiko Shinki
Publisher :
ISBN 13 :
Total Pages : 115 pages
Book Rating : 4.:/5 (694 download)
Download or read book Topics in Asymptotic Theory for Garch-type Models written by Kazuhiko Shinki and published by . This book was released on 2010 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ekaterina Smetanina
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asymptotic Theory for QMLE for Real-Time GARCH(1,1) Model written by Ekaterina Smetanina and published by . This book was released on 2019 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the asymptotic properties of the Gaussian Quasi-Maximum-Likelihood estimator (QMLE) for the Real-time GARCH(1,1) model of Smetanina (2017). The developed theory relies on the new dependence measure developed in Wu (2005) and is substantially different to the standard asymptotic theory for GARCH models. We prove consistency and asymptotic normality for the parameter vector at the usual √T rate. Finally, as part of the developed theory we also demonstrate how convergence rates of uniform laws of large numbers can be established via the powerful maximal inequalities for high-dimensional heavy-tailed time series using uniform functional dependence measure.
Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119313562
Total Pages : 504 pages
Book Rating : 4.1/5 (193 download)
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2019-03-19 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Author : Brendan McCabe
Publisher : Manchester University Press
ISBN 13 : 9780719030536
Total Pages : 338 pages
Book Rating : 4.0/5 (35 download)
Download or read book Elements of Modern Asymptotic Theory with Statistical Applications written by Brendan McCabe and published by Manchester University Press. This book was released on 1993 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Straumann
Publisher : Springer Science & Business Media
ISBN 13 : 3540269789
Total Pages : 239 pages
Book Rating : 4.5/5 (42 download)
Download or read book Estimation in Conditionally Heteroscedastic Time Series Models written by Daniel Straumann and published by Springer Science & Business Media. This book was released on 2006-01-27 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies.
Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119957397
Total Pages : 469 pages
Book Rating : 4.1/5 (199 download)
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Author : Robert Engle
Publisher : Princeton University Press
ISBN 13 : 1400830192
Total Pages : 176 pages
Book Rating : 4.4/5 (8 download)
Download or read book Anticipating Correlations written by Robert Engle and published by Princeton University Press. This book was released on 2009-01-19 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.
Author : Jianqing Fan
Publisher : World Scientific
ISBN 13 : 981256120X
Total Pages : 469 pages
Book Rating : 4.8/5 (125 download)
Download or read book Contemporary Multivariate Analysis and Design of Experiments written by Jianqing Fan and published by World Scientific. This book was released on 2005 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book furthers new and exciting developments in experimental designs, multivariate analysis, biostatistics, model selection and related subjects. It features articles contributed by many prominent and active figures in their fields. These articles cover a wide array of important issues in modern statistical theory, methods and their applications. Distinctive features of the collections of articles are their coherence and advance in knowledge discoveries.
