Convergence of Heuristic-based Estimators of the GARCH Model

DOI10.1007/978-3-642-30278-7_13zbMath1349.62417OpenAlexW173487859MaRDI QIDQ2829650

Cristian Gatu, Peter Winker, Alexandru Mandes

Publication date: 8 November 2016

Published in: Towards Advanced Data Analysis by Combining Soft Computing and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-30278-7_13

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Statistical and computational tradeoff in genetic algorithm-based estimation

Uses Software

• FinTS

Cites Work

• Unnamed Item
• Portfolio management with heuristic optimization.
• The convergence of estimators based on heuristics: theory and application to a GARCH model
• Generalized autoregressive conditional heteroscedasticity

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