Self-weighted recursive estimation of GARCH models

DOI10.1080/03610918.2015.1053924zbMath1392.62310OpenAlexW2566645609MaRDI QIDQ4563409

Tomáš Cipra, Radek Hendrych

Publication date: 1 June 2018

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1053924

zbMATH Keywords

GARCHvolatilityon-line estimationrecursive estimationhigh-frequency time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (1)

Narrow big data in a stream: computational limitations and regression

Uses Software

• tseries
• Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Generalized autoregressive conditional heteroscedasticity
• Nonlinear time series. Nonparametric and parametric methods
• Real time estimation of stochastic volatility processes
• Recursive Estimation of GARCH Models
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Statistics of financial markets. An introduction.

This page was built for publication: Self-weighted recursive estimation of GARCH models