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Author : Felix Chan
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (721 download)
Download or read book Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors written by Felix Chan and published by . This book was released on 2010 with total page 27 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 : J. Shao
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (897 download)
Download or read book Asymptotic Theory in Heteroscedastic Nonlinear Models written by J. Shao and published by . This book was released on 1988 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Heejoon Han
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (839 download)
Download or read book Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-stationary Covariates written by Heejoon Han and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 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 : José Francisco Burguete
Publisher :
ISBN 13 :
Total Pages : 160 pages
Book Rating : 4.:/5 (88 download)
Download or read book Asymptotic Theory of Instrumental Variables in Nonlinear Regression written by José Francisco Burguete and published by . This book was released on 1980 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 290 pages
Book Rating : 4.:/5 (44 download)
Download or read book Problems of the asymptotic theory of nonlinear oscillations written by and published by . This book was released on 1977 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jose F. Burguete
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (169 download)
Download or read book On Unification of the Asymptotic Theory of Nonlinear Econometric Models written by Jose F. Burguete and published by . This book was released on 1980 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lenser A Aghalovyan
Publisher : World Scientific
ISBN 13 : 9814579041
Total Pages : 377 pages
Book Rating : 4.8/5 (145 download)
Download or read book Asymptotic Theory Of Anisotropic Plates And Shells written by Lenser A Aghalovyan and published by World Scientific. This book was released on 2015-03-03 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: A consistent theory for thin anisotropic layered structures is developed starting from asymptotic analysis of 3D equations in linear elasticity. The consideration is not restricted to the traditional boundary conditions along the faces of the structure expressed in terms of stresses, originating a new type of boundary value problems, which is not governed by the classical Kirchhoff-Love assumptions. More general boundary value problems, in particular related to elastic foundations are also studied.The general asymptotic approach is illustrated by a number of particular problems for elastic and thermoelastic beams and plates. For the latter, the validity of derived approximate theories is investigated by comparison with associated exact solution. The author also develops an asymptotic approach to dynamic analysis of layered media composed of thin layers motivated by modeling of engineering structures under seismic excitation.
Author : Hira L. Koul
Publisher : Springer Science & Business Media
ISBN 13 : 146130055X
Total Pages : 444 pages
Book Rating : 4.4/5 (613 download)
Download or read book Weighted Empirical Processes in Dynamic Nonlinear Models written by Hira L. Koul and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a unified approach for obtaining the limiting distributions of minimum distance. It discusses classes of goodness-of-t tests for fitting an error distribution in some of these models and/or fitting a regression-autoregressive function without assuming the knowledge of the error distribution. The main tool is the asymptotic equi-continuity of certain basic weighted residual empirical processes in the uniform and L2 metrics.
Author : Chien-Fu WU
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book ASYMPTOTIC THEORY OF NONLINEAR LEAST SQUARES ESTIMATION written by Chien-Fu WU and published by . This book was released on 1979 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wenqing He
Publisher : Springer Nature
ISBN 13 : 3031083296
Total Pages : 339 pages
Book Rating : 4.0/5 (31 download)
Download or read book Advances and Innovations in Statistics and Data Science written by Wenqing He and published by Springer Nature. This book was released on 2022-10-27 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book highlights selected papers from the 4th ICSA-Canada Chapter Symposium, as well as invited articles from established researchers in the areas of statistics and data science. It covers a variety of topics, including methodology development in data science, such as methodology in the analysis of high dimensional data, feature screening in ultra-high dimensional data and natural language ranking; statistical analysis challenges in sampling, multivariate survival models and contaminated data, as well as applications of statistical methods. With this book, readers can make use of frontier research methods to tackle their problems in research, education, training and consultation.
Author : Steven Durlauf
Publisher : Springer
ISBN 13 : 0230280838
Total Pages : 417 pages
Book Rating : 4.2/5 (32 download)
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author : Andrea Roncoroni
Publisher : John Wiley & Sons
ISBN 13 : 0470661836
Total Pages : 1076 pages
Book Rating : 4.4/5 (76 download)
Download or read book Handbook of Multi-Commodity Markets and Products written by Andrea Roncoroni and published by John Wiley & Sons. This book was released on 2015-02-19 with total page 1076 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.
