Calibration of GARCH models using concurrent accelerated random search

DOI10.1016/j.amc.2013.07.002zbMath1329.91152OpenAlexW2075800952MaRDI QIDQ905332

Juho Kanniainen, Juliane Müller, Robert Piché

Publication date: 19 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.07.002

zbMATH Keywords

option pricingGARCHfinancedistributed computingaccelerated random search

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

Cites Work

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• Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
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