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 |
|