Search results for "GARCH"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
130	Xiong-Fei Zhuang, Lai-Wan Chan	Volatility Forecasts in Financial Time Series with HMM-GARCH Models.	IDEAL	2004	DBLP DOI BibTeX RDF
121	Tetsuya Takaishi	Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme.	ICIC (1)	2009	DBLP DOI BibTeX RDF	GJR-GARCH model, Bayesian inference, Markov Chain Monte Carlo, Metropolis-Hasting algorithm
121	Edmond H. C. Wu, Philip L. H. Yu	Volatility Modelling of Multivariate Financial Time Series by Using ICA-GARCH Models.	IDEAL	2005	DBLP DOI BibTeX RDF	Financial Engineering, ICA, Volatility, Multivariate Time Series, GARCH
114	Liyan Geng, Junhai Ma	TSK Fuzzy Inference System Based GARCH Model for Forecasting Exchange Rate Volatility.	FSKD (3)	2008	DBLP DOI BibTeX RDF
89	Turan G. Bali, Panayiotis Theodossiou	A conditional-SGT-VaR approach with alternative GARCH models.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	GARCH models, Skewed generalized t distribution, Expected shortfall, Conditional value at risk
82	Rasool Tahmasbi, Sadegh Rezaei	Change Point Detection in GARCH Models for Voice Activity Detection.	IEEE Trans. Speech Audio Process.	2008	DBLP DOI BibTeX RDF
82	Ari Abramson, Israel Cohen	Recursive Supervised Estimation of a Markov-Switching GARCH Process in the Short-Time Fourier Transform Domain.	IEEE Trans. Signal Process.	2007	DBLP DOI BibTeX RDF
82	Rasool Tahmasbi, Sadegh Rezaei	A Soft Voice Activity Detection Using GARCH Filter and Variance Gamma Distribution.	IEEE Trans. Speech Audio Process.	2007	DBLP DOI BibTeX RDF
82	Weimin Li, Jianwei Liu, Jiajin Le	Using GARCH-GRNN Model to Forecast Financial Time Series.	ISCIS	2005	DBLP DOI BibTeX RDF
73	Tetsuya Takaishi	An Adaptive Markov Chain Monte Carlo Method for GARCH Model.	Complex (2)	2009	DBLP DOI BibTeX RDF	GARCH model, Bayesian inference, Markov Chain Monte Carlo, Metropolis-Hastings algorithm
72	Xinwu Zhang, Yan Wang, Handong Li	The Contrast of Parametric and Nonparametric Volatility Measurement Based on Chinese Stock Market.	Complex (1)	2009	DBLP DOI BibTeX RDF	realized volatility, volatility measurement, conditional distribution, GARCH
72	Kaijian He, Chi Xie, Kin Keung Lai	Estimating Real Estate Value-at-Risk Using Wavelet Denoising and Time Series Model.	ICCS (2)	2008	DBLP DOI BibTeX RDF	Real Estate Market, ARMA-GARCH Model, Wavelet Analysis, Value at Risk
66	Paul E. Lynch, Nigel M. Allinson	Adaptive Filtering for GARCH Models.	IDEAL	2002	DBLP DOI BibTeX RDF
64	Juliana Yim	A Comparison of Neural Networks with Time Series Models for Forecasting Returns on a Stock Market Index.	IEA/AIE	2002	DBLP DOI BibTeX RDF
57	Tu Zhou, Laiwan Chan	Clustered Dynamic Conditional Correlation Multivariate GARCH Model.	DaWaK	2008	DBLP DOI BibTeX RDF	multivariate time series analysis, DCC, GARCH
56	Turan G. Bali	Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	Modeling interest rates, Stochastic volatility, Interest rate options, Diffusions, GARCH
56	Victor Fang, Vincent C. S. Lee, Yee Choon Lim	Volatility Transmission Between Stock and Bond Markets: Evidence from US and Australia.	IDEAL	2005	DBLP DOI BibTeX RDF	Comovement, volatility transmission, conditional varaince, GARCH (1,1)
51	Benjamin Ribba, Hanane El Garch, Sylvie Brunet, Emmanuel Grenier, Filippo Castiglione, H. Poulet, Philippe Vanhems	Time-Course Analysis of Main Markers of Primary Infection in Cats with the Feline Immunodeficiency Virus.	Comput. Math. Methods Medicine	2012	DBLP DOI BibTeX RDF
50	Maryam Amirmazlaghani, Hamidreza Amindavar, Alireza Moghaddamjoo	Speckle Suppressionin SAR Images Using the 2-D GARCH Model.	IEEE Trans. Image Process.	2009	DBLP DOI BibTeX RDF
50	José Miguel Hernández-Lobato, Daniel Hernández-Lobato, Alberto Suárez 0001	GARCH Processes with Non-parametric Innovations for Market Risk Estimation.	ICANN (2)	2007	DBLP DOI BibTeX RDF
50	Piotr Kokoszka, Gilles Teyssière, Aonan Zhang	Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences.	International Conference on Computational Science	2004	DBLP DOI BibTeX RDF
41	Ling-Bing Tang, Huan-Ye Sheng, Ling-Xiao Tang	GARCH prediction using spline wavelet support vector machine.	Neural Comput. Appl.	2009	DBLP DOI BibTeX RDF	Volatility forecasting, Spline wavelet support vector machine, GARCH
40	Jian-ping Qiu, Lichao Chen, Yingjun Zhang	A Prediction Algorithm Based on Time Series Analysis.	ISNN (2)	2008	DBLP DOI BibTeX RDF	Semantic Web of Trust, CLRM, VAR-GARCH, Time Series Analysis
35	Kuo-Shing Chen, Shen-Ho Chang	Volatility Co-Movement between Bitcoin and Stablecoins: BEKK-GARCH and Copula-DCC-GARCH Approaches.	Axioms	2022	DBLP DOI BibTeX RDF
35	Alexander C. M. Zeitlberger, Alexander Brauneis	Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models.	Central Eur. J. Oper. Res.	2016	DBLP DOI BibTeX RDF
35	Yiyu Huang, Wenjing Su, Xiang Li 0033	Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study.	ADMA (2)	2010	DBLP DOI BibTeX RDF
35	Soosung Hwang, Pedro L. Valls Pereira	The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models.	Commun. Stat. Simul. Comput.	2008	DBLP DOI BibTeX RDF
34	Ari Abramson, Israel Cohen	Single-Sensor Audio Source Separation Using Classification and Estimation Approach and GARCH Modeling.	IEEE Trans. Speech Audio Process.	2008	DBLP DOI BibTeX RDF
34	Chaoba Nikkie Anand, Caterina M. Scoglio, Balasubramaniam Natarajan	GARCH - non-linear time series model for traffic modeling and prediction.	NOMS	2008	DBLP DOI BibTeX RDF
34	Ari Abramson, Emanuël A. P. Habets, Sharon Gannot, Israel Cohen	Dual-microphone speech dereverberation using GARCH modeling.	ICASSP	2008	DBLP DOI BibTeX RDF
34	Xiaofei Du, Yuanjun Zhou	A GARCH Modeling Approach for Constant Speed Drive Residual Life Predicting of Aircraft Generator.	FSKD (5)	2008	DBLP DOI BibTeX RDF
32	Richard Gerlach, Cathy W. S. Chen	Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models.	Stat. Comput.	2008	DBLP DOI BibTeX RDF	Mixture normal, Posterior model probability, Asymmetric volatility model, Smooth transition, Value-at-Risk, Markov chain Monte Carlo method
32	Kin Keung Lai, Kaijian He, Chi Xie, Shou Chen	Market Risk for Nonferrous Metals: A Wavelet Based VaR Approach.	ISDA (1)	2006	DBLP DOI BibTeX RDF
32	Kin Keung Lai, Kaijian He, Chi Xie, Shou Chen	Market Risk Measurement for Crude Oil: A Wavelet Based VaR Approach.	IJCNN	2006	DBLP DOI BibTeX RDF
32	Irwin Ma, Tony Wong, Thiagas Sankar, Raymond Siu	Forecasting the volatility of a financial index by wavelet transform and evolutionary algorithm.	SMC (6)	2004	DBLP DOI BibTeX RDF
32	Chokri Slim	Forecasting the Volatility of Stock Index Returns: A Stochastic Neural Network Approach.	ICCSA (3)	2004	DBLP DOI BibTeX RDF
32	Gleb V. Nosovskij	Mathematical Analysis of Stock Market Movement.	CW	2004	DBLP DOI BibTeX RDF
23	Manying Bai, Lujie Sun	Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization.	ESCAPE	2007	DBLP DOI BibTeX RDF	CVaR, Portfolio Optimization, Copula, GARCH
23	Gert Van Dijck, Jo Van Vaerenbergh, Marc M. Van Hulle	Information Theoretic Derivations for Causality Detection: Application to Human Gait.	ICANN (2)	2007	DBLP DOI BibTeX RDF	Conditional relative entropy, surrogate testing, VARMA-GARCH, mutual information, human gait
23	Stefanos G. Giakoumatos, Petros Dellaportas, Dimitris Nicolas Politis	Bayesian analysis of the unobserved ARCH model.	Stat. Comput.	2005	DBLP DOI BibTeX RDF	ARCH components, Markov chain Monte Carlo, GARCH, auxiliary variables
23	Gordon H. Dash, Choudary R. Hanumara, Nina Kajiji	Neural network architectures for efficient modeling of FX futures options volatility.	Oper. Res.	2003	DBLP DOI BibTeX RDF	FX Futures Options Volatility, Radial Basis Function, GARCH
17	Roy Cerqueti, Hayette Gatfaoui, Giulia Rotundo	Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes.	Ann. Oper. Res.	2024	DBLP DOI BibTeX RDF
17	Huimin Han, Zehua Liu, Mauricio Barrios Barrios, Jiuhao Li, Zhixiong Zeng, Nadia Sarhan, Emad Mahrous Awwad	Time series forecasting model for non-stationary series pattern extraction using deep learning and GARCH modeling.	J. Cloud Comput.	2024	DBLP DOI BibTeX RDF
17	Hanwen Xuan, Luca Maestrini, Feng Chen, Clara Grazian	Stochastic variational inference for GARCH models.	Stat. Comput.	2024	DBLP DOI BibTeX RDF
17	Yuhyeong Jang, Raanju R. Sundararajan, Wagner Barreto-Souza	A multivariate heavy-tailed integer-valued GARCH process with EM algorithm-based inference.	Stat. Comput.	2024	DBLP DOI BibTeX RDF
17	Bichen Wang	Heuristic method of adaptive filtering for noisy GARCH processes.	Signal Process.	2024	DBLP DOI BibTeX RDF
17	David Alaminos, M. Belén Salas, Antonio Partal-Ureña	Hybrid ARMA-GARCH-Neural Networks for intraday strategy exploration in high-frequency trading.	Pattern Recognit.	2024	DBLP DOI BibTeX RDF
17	Yongrong Huang, Huiqing Wang, Zhide Chen, Chen Feng, Kexin Zhu, Xu Yang 0002, Wencheng Yang	Evaluating Cryptocurrency Market Risk on the Blockchain: An Empirical Study Using the ARMA-GARCH-VaR Model.	IEEE Open J. Comput. Soc.	2024	DBLP DOI BibTeX RDF
17	Rui Zhang	Asymmetric beta-binomial GARCH models for time series with bounded support.	Appl. Math. Comput.	2024	DBLP DOI BibTeX RDF
17	Sneha S. Bagalkot, H. A. Dinesha, Nagaraj Naik	Novel grey wolf optimizer based parameters selection for GARCH and ARIMA models for stock price prediction.	PeerJ Comput. Sci.	2024	DBLP DOI BibTeX RDF
17	Lanyu Xiong, Fukang Zhu	Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function.	Comput. Stat.	2024	DBLP DOI BibTeX RDF
17	Yuanqi Chu, Keming Yu	Bayesian log-linear beta-negative binomial integer-valued Garch model.	Comput. Stat.	2024	DBLP DOI BibTeX RDF
17	Pengfei Zhao, Haoren Zhu, Wilfred Siu Hung Ng, Dik Lun Lee	From GARCH to Neural Network for Volatility Forecast.	CoRR	2024	DBLP DOI BibTeX RDF
17	Narayan Tondapu	Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs.	CoRR	2024	DBLP DOI BibTeX RDF
17	Zeynab Aghabazaz, Iraj Kazemi, Alireza Nematollahi	Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture.	J. Comput. Appl. Math.	2024	DBLP DOI BibTeX RDF
17	Pengfei Zhao, Haoren Zhu, Wilfred Siu Hung Ng, Dik Lun Lee	From GARCH to Neural Network for Volatility Forecast.	AAAI	2024	DBLP DOI BibTeX RDF
17	Fayadh Alenezi, Ammar Armghan, Abdullah G. Alharbi, Saban Öztürk, Sara A. Althubiti, Romany Fouad Mansour	Reverse gamma correction based GARCH model for underwater image dehazing and detail exposure.	Expert Syst. Appl.	2023	DBLP DOI BibTeX RDF
17	Yanlin Shi	A simulation study on the Markov regime-switching zero-drift GARCH model.	Ann. Oper. Res.	2023	DBLP DOI BibTeX RDF
17	Xuqin Wang, Muyi Li	Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models.	Comput. Stat. Data Anal.	2023	DBLP DOI BibTeX RDF
17	Bao Quoc Ta, Nguyen H. Q. Khai	Portfolio Optimization Based on Artificial Neural Network and GARCH-EVT-Copula Models.	Int. J. Uncertain. Fuzziness Knowl. Based Syst.	2023	DBLP DOI BibTeX RDF
17	Tongwei Zhang, Lianyan Fu, Dehui Wang, Zhuoxi Yu	A Time-Varying Coefficient Double Threshold GARCH Model with Explanatory Variables.	Axioms	2023	DBLP DOI BibTeX RDF
17	Fangrou Chai, Yuan Li, Xingfa Zhang, Zhongxiu Chen	Daily Semiparametric GARCH Model Estimation Using Intraday High-Frequency Data.	Symmetry	2023	DBLP DOI BibTeX RDF
17	Thabani Ndlovu, Delson Chikobvu	A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates.	Data	2023	DBLP DOI BibTeX RDF
17	Vahid Reza Gharehbaghi, Hashem Kalbkhani, Ehsan Noroozinejad Farsangi, Tony T. Y. Yang, Seyedali Mirjalili	A data-driven approach for linear and nonlinear damage detection using variational mode decomposition and GARCH model.	Eng. Comput.	2023	DBLP DOI BibTeX RDF
17	Emmanuel Alphonsus Akpan, Kazeem Etitayo Lasisi, Imoh Udo Moffat, Ubon Akpan Abasiekwere	Appraisal of excess Kurtosis through outlier-modified GARCH-type models.	Commun. Stat. Simul. Comput.	2023	DBLP DOI BibTeX RDF
17	Yakoub Boularouk	Standard Laplace quasi-maximum likelihood estimator for GARCH processes.	Commun. Stat. Simul. Comput.	2023	DBLP DOI BibTeX RDF
17	Baye Matar Kandji	Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models.	J. Appl. Probab.	2023	DBLP DOI BibTeX RDF
17	Junping Hong, Yi Yan, Ercan Engin Kuruoglu, Wai Kin Chan	Multivariate Time Series Forecasting With GARCH Models on Graphs.	IEEE Trans. Signal Inf. Process. over Networks	2023	DBLP DOI BibTeX RDF
17	Jakub Michanków, Lukasz Kwiatkowski, Janusz Morajda	Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting.	CoRR	2023	DBLP DOI BibTeX RDF
17	Zhengtao Gui, Haoyuan Li, Sijie Xu, Yu Chen	A Nonlinear Method for time series forecasting using VMD-GARCH-LSTM model.	CoRR	2023	DBLP DOI BibTeX RDF
17	Martin Magris, Alexandros Iosifidis	Variational Inference for GARCH-family Models.	CoRR	2023	DBLP DOI BibTeX RDF
17	Khreshna Syuhada, Venansius Tjahjono, Arief Hakim	Improving Value-at-Risk forecast using GA-ARMA-GARCH and AI-KDE models.	Appl. Soft Comput.	2023	DBLP DOI BibTeX RDF
17	Min Hyung Park, Dongyan Nan, Yerin Kim, Jang-Hyun Kim 0001	CBOE Volatility Index Forecasting under COVID-19: An Integrated BiLSTM-ARIMA-GARCH Model.	Comput. Syst. Sci. Eng.	2023	DBLP DOI BibTeX RDF
17		Retracted: Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model.	Complex.	2023	DBLP DOI BibTeX RDF
17	Jine Liu, Ling Yan	Correlation Analysis of Media Sentiment and Stock Returns Based on ARMA-GARCH-Copula Model.	ICEME	2023	DBLP DOI BibTeX RDF
17	Roengchai Tansuchat, Payap Tarkhamtham, Wiranya Puntoon, Rungrapee Phadkantha	Forecasting Precious Metals Prices Volatility with the Global Economic Policy Uncertainty Index: The GARCH-MIDAS Technique for Different Frequency Data Sets.	IUKM (1)	2023	DBLP DOI BibTeX RDF
17	Woraphon Yamaka, Paravee Maneejuk, Sukrit Thongkairat	Lasso and Ridge for GARCH-X Models.	IUKM (1)	2023	DBLP DOI BibTeX RDF
17	Nguyen T. Anh, Mai D. Lam, Bao Quoc Ta	Mean-Variance Portfolio Allocation Using ARMA-GARCH-Stable and Artificial Neural Network Models.	IUKM (1)	2023	DBLP DOI BibTeX RDF
17	Chenyu Gao, Ziping Zhao 0002, Daniel P. Palomar	A Novel Algorithm for GARCH Model Estimation.	SSP	2023	DBLP DOI BibTeX RDF
17	Ferry Vincenttius Ferdinand, Kie Van Ivanky Saputra, Michelle, Johan Sebastian Edbert	Forecasting Stock Price Index of Four Asian Countries During COVID-19 Pandemic Using ARMA-GARCH and RNN Methods.	IEEM	2023	DBLP DOI BibTeX RDF
17	Martin Magris, Alexandros Iosifidis	Variational Inference for GARCH-family Models.	ICAIF	2023	DBLP DOI BibTeX RDF
17	Xulong Yan, Cheng Zuo, Junjun Yang, Zhipeng Li, Derong Zhu, Junjie Yan	Analysis and prediction model based on ARMI-GARCH and single objective optimization.	EBIMCS	2023	DBLP DOI BibTeX RDF
17	Samreen Fatima, Mudassir Uddin	On the forecasting of multivariate financial time series using hybridization of DCC-GARCH model and multivariate ANNs.	Neural Comput. Appl.	2022	DBLP DOI BibTeX RDF
17	Jose Augusto Fiorucci, Geraldo Nunes Silva, Flavio Barboza	Reaction trend system with GARCH quantiles as action points.	Expert Syst. Appl.	2022	DBLP DOI BibTeX RDF
17	Kshitij Kakade, Aswini Kumar Mishra, Kshitish Ghate, Shivang Gupta	Forecasting Commodity Market Returns Volatility: A Hybrid Ensemble Learning GARCH-LSTM based Approach.	Intell. Syst. Account. Finance Manag.	2022	DBLP DOI BibTeX RDF
17	Fabrizio Laurini, Paul Fearnhead, Jonathan A. Tawn	Limit theory and robust evaluation methods for the extremal properties of GARCH(p, q) processes.	Stat. Comput.	2022	DBLP DOI BibTeX RDF
17	Eunho Koo, Geonwoo Kim	A Hybrid Prediction Model Integrating GARCH Models With a Distribution Manipulation Strategy Based on LSTM Networks for Stock Market Volatility.	IEEE Access	2022	DBLP DOI BibTeX RDF
17	Woraphon Yamaka, Jianxu Liu, Mingyang Li, Paravee Maneejuk, Hai Q. Dinh 0001	Analyzing the Causality and Dependence between Exchange Rate and Real Estate Prices in Boom-and-Bust Markets: Quantile Causality and DCC Copula GARCH Approaches.	Axioms	2022	DBLP DOI BibTeX RDF
17	Ji Ma, Xiaoqing Li, Jianxu Liu, Jiande Cui, Mingzhi Zhang, Songsak Sriboonchitta	Comparison of Systemic Financial Risks in the US before and after the COVID-19 Outbreak - A Copula-GARCH with CES Approach.	Axioms	2022	DBLP DOI BibTeX RDF
17	Danni Xie, Xin Liang, Ruilin Liang	Self-Weighted Quasi-Maximum Likelihood Estimators for a Class of MA-GARCH Model.	Symmetry	2022	DBLP DOI BibTeX RDF
17	Xiaoling Li, Xingfa Zhang, Yuan Li	High-Dimensional Conditional Covariance Matrices Estimation Using a Factor-GARCH Model.	Symmetry	2022	DBLP DOI BibTeX RDF
17	Reza Sharbati, Hamidreza Ramazi, Faramarz Khoshnoudian, Toktam Valizadeh, Mohammadreza Koopialipoor, Danial Jahed Armaghani	The smooth transition GARCH model for simulation of highly nonstationary earthquake ground motions.	Eng. Comput.	2022	DBLP DOI BibTeX RDF
17	Svetlana Sapuric, Angelika I. Kokkinaki, Ifigenia Georgiou	The relationship between Bitcoin returns, volatility and volume: asymmetric GARCH modeling.	J. Enterp. Inf. Manag.	2022	DBLP DOI BibTeX RDF
17	Y. Boubacar Mainassara, O. Kadmiri, Bruno Saussereau	Estimation of multivariate asymmetric power GARCH models.	J. Multivar. Anal.	2022	DBLP DOI BibTeX RDF
17	Yuanbo Li, Chi Tim Ng, Chun Yip Yau	GARCH-type factor model.	J. Multivar. Anal.	2022	DBLP DOI BibTeX RDF
17	Hanqing Li, Xiaohui Liu, Yuting Chen, Yawen Fan	Testing for Serial Correlation in Autoregressive Exogenous Models with Possible GARCH Errors.	Entropy	2022	DBLP DOI BibTeX RDF
17	Jishun Ou, Xiangmei Huang, Yang Zhou, Zhigang Zhou, Qinghui Nie	Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework.	Entropy	2022	DBLP DOI BibTeX RDF
17	Hengjing Zhang, Huanling Liu, Dongdong Cui, Fang Zhang	A Height Nonlinear Velocity Field Algorithm for CORS Station Based on GARCH Model.	Sensors	2022	DBLP DOI BibTeX RDF
17		Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model.	Complex.	2022	DBLP DOI BibTeX RDF
17	Jun Zhao, Yi Zhang, Sheng Wu, Liming Shen	Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression.	J. Comput. Appl. Math.	2022	DBLP DOI BibTeX RDF