A Structural Garch Model
DOWNLOAD
Download A Structural Garch Model PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get A Structural Garch Model book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
A Structural Garch Model An Application To Portfolio Risk Management
DOWNLOAD
Author : Walter Albert De Wet
language : en
Publisher:
Release Date : 2013
A Structural Garch Model An Application To Portfolio Risk Management written by Walter Albert De Wet and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The primary objective of this study is to decompose the conditional covariance matrix of a system of variables. A structural GARCH model is proposed which makes use of existing multivariate GARCH (MGARCH) models to decompose the covariance matrix. The variables analysed in the study are the All Share index (ALSI) on the Johannesburg stock exchange, the South African Rand/US Dollar exchange rate (R/
Garch Models
DOWNLOAD
Author : Christian Francq
language : en
Publisher: John Wiley & Sons
Release Date : 2019-06-10
Garch Models written by Christian Francq and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-10 with Mathematics categories.
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.
Garch Models
DOWNLOAD
Author : Christian Francq
language : en
Publisher: John Wiley & Sons
Release Date : 2011-06-24
Garch Models written by Christian Francq and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-24 with Mathematics categories.
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.
Identification Of Structural Multivariate Garch Models
DOWNLOAD
Author : Christian M. Hafner
language : en
Publisher:
Release Date : 2018
Identification Of Structural Multivariate Garch Models written by Christian M. Hafner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The Effects Of Structural Breaks In Arch And Garch Parameters On Persistence Of Garch Models
DOWNLOAD
Author : Soosung Hwang
language : en
Publisher:
Release Date : 2009
The Effects Of Structural Breaks In Arch And Garch Parameters On Persistence Of Garch Models written by Soosung Hwang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of persistence over the sample period.
Real Time Detection Of Structural Breaks In Garch Models November 2009
DOWNLOAD
Author : Bank of Canada
language : en
Publisher:
Release Date : 2009
Real Time Detection Of Structural Breaks In Garch Models November 2009 written by Bank of Canada and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Real Time Detection Of Structural Breaks In Garch Models
DOWNLOAD
Author : Zhongfang He
language : en
Publisher:
Release Date : 2009
Real Time Detection Of Structural Breaks In Garch Models written by Zhongfang He and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Testing For Structural Breaks In Garch Models
DOWNLOAD
Author : Daniel R. Smith
language : en
Publisher:
Release Date : 2006
Testing For Structural Breaks In Garch Models written by Daniel R. Smith and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
We study the ability of traditional diagnostic tests and LM and CUSUM structural break tests to detect a range of different types of breaks in GARCH models. We find that Wooldridge's (1990) robust LM tests for autocorrelation and ARCH have no power to detect structural breaks in GARCH models. However, CUSUM and LM-based structural break tests have excellent size when the data is Gaussian, but the CUSUM tests tend to overreject even in quite large samples when returns have fat tails. However, the LM-based tests have approximately the correct size and exhibit impressive power to detect a range of breaks in the dynamics of conditional volatility. We apply these tests to a range of financial time series using returns starting only in 1990 and find that many GARCH models that pass standard specification tests fail the structural break tests.
Structural Change And Long Memory In The Garch 1 1 Model
DOWNLOAD
Author : Walter Krämer
language : en
Publisher:
Release Date : 2006
Structural Change And Long Memory In The Garch 1 1 Model written by Walter Krämer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Inference For Structural Impulse Responses In Svar Garch Models
DOWNLOAD
Author : Stefan Bruder
language : en
Publisher:
Release Date : 2018
Inference For Structural Impulse Responses In Svar Garch Models written by Stefan Bruder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.