Search results for "GARCH"

Hits ?▲	Authors	Title	Venue	Year	Link
17	Thi Kim Dung Nguyen	Modelling Exchange Rate Volatility Using GARCH Model: An Empirical Analysis for Vietnam.	ECONVN	2018	DBLP DOI BibTeX RDF
17	Werner Kristjanpoller, Esteban Hernández	Volatility of main metals forecasted by a hybrid ANN-GARCH model with regressors.	Expert Syst. Appl.	2017	DBLP DOI BibTeX RDF
17	Brij B. Gupta, Omkar P. Badve	GARCH and ANN-based DDoS detection and filtering in cloud computing environment.	Int. J. Embed. Syst.	2017	DBLP DOI BibTeX RDF
17	Young Joo Yoon, Sooyong Lee, Taewook Lee	Adaptive LASSO for linear regression models with ARMA-GARCH errors.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
17	Lingling Luo, Pairote Sattayatham, Ratthachat Chatpatanasiri	GARCH-type forecasting models for volatility of stock market and MCS test.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
17	Jong-Min Kim 0001, S. Y. Hwang	Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
17	Mohamed Bentarzi, Wissam Bentarzi	Periodic integer-valued GARCH(1, 1) model.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
17	Violetta Dalla, Yannis Bassiakos, Simos G. Meintanis	Characteristic function-based inference for GARCH models with heavy-tailed innovations.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
17	Hoda Kamranfar, Rahim Chinipardaz, Behzad Mansouri	Detecting outliers in GARCH(p, q) models.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
17	Djamel Zitouni, Benjamin C. Guinhouya, Pierre Ravaux, Christian Vilhelm, Bruno Sarrazin, Mohamed Lemdani, Hossein Mehdaoui	Si-GARCH: Construction and validation of a new method for the detection of breaking points in models.	Commun. Stat. Simul. Comput.	2017	DBLP DOI BibTeX RDF
17	Pedro Correia S. Bezerra, Pedro Henrique Melo Albuquerque	Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels.	Comput. Manag. Sci.	2017	DBLP DOI BibTeX RDF
17	Yunjian Zhang, Yixiong Zhang, Zhenmiao Deng, Xiao-Ping (Steven) Zhang, Hui Liu 0020	Sea surface target detection based on complex ARMA-GARCH processes.	Digit. Signal Process.	2017	DBLP DOI BibTeX RDF
17	Yunjian Zhang, Zhenmiao Deng, Jianghong Shi, Yixiong Zhang, Hui Liu 0020	Sea clutter modeling using an autoregressive generalized nonlinear-asymmetric GARCH model.	Digit. Signal Process.	2017	DBLP DOI BibTeX RDF
17	Jong-Min Kim 0001, Sunghae Jun	Integer-valued GARCH processes for Apple technology analysis.	Ind. Manag. Data Syst.	2017	DBLP DOI BibTeX RDF
17	Christian Francq, Genaro Sucarrat	An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns.	J. Multivar. Anal.	2017	DBLP DOI BibTeX RDF
17	Sara Mihandoost, Mehdi Chehel Amirani	Cyclic spectral analysis of electrocardiogram signals based on GARCH model.	Biomed. Signal Process. Control.	2017	DBLP DOI BibTeX RDF
17	Spela Jezernik Sirca, Matjaz Omladic	The JLS model with ARMA/GARCH errors.	Ars Math. Contemp.	2017	DBLP DOI BibTeX RDF
17	Tanaporn Tungtrakul, Natthaphat Kingnetr, Songsak Sriboonchitta	Do We Have Robust GARCH Models Under Different Mean Equations: Evidence from Exchange Rates of Thailand?	Robustness in Econometrics	2017	DBLP DOI BibTeX RDF
17	Safia Raslain, Fella Hachouf, Soumia Kharfouchi	Using 2D ARMA-GARCH for ultrasound images denoising.	ICIP	2017	DBLP DOI BibTeX RDF
17	Tomasz Andrysiak, Lukasz Saganowski, Miroslaw Maszewski, Adam Marchewka	Detection of Network Attacks Using Hybrid ARIMA-GARCH Model.	DepCoS-RELCOMEX	2017	DBLP DOI BibTeX RDF
17	Salman Mohamadi, Hamidreza Amindavar, Seyed Mohammad Ali Tayaranian Hosseini	ARIMA-GARCH modeling for epileptic seizure prediction.	ICASSP	2017	DBLP DOI BibTeX RDF
17	R. Riccelli, Luca Passamonti, Andrea Duggento, Maria Guerrisi, Iole Indovina, Antonio Terracciano, Nicola Toschi	Dynamical brain connectivity estimation using GARCH models: An application to personality neuroscience.	EMBC	2017	DBLP DOI BibTeX RDF
17	Nhung Nguyen-Hong, Yosuke Nakanishi	Stochastic dynamic power flow analysis based on stochastic response surfarce method and ARMA-GARCH model.	ISGT	2017	DBLP DOI BibTeX RDF
17	Runfang Yu, Jiangze Du, Xiaotao Liu	Improved Forecast Ability of Oil Market Volatility Based on combined Markov Switching and GARCH-class Model.	ITQM	2017	DBLP DOI BibTeX RDF
17	Maryam Amirmazlaghani	A Novel Statistical Detector for Contourlet Domain Image Watermarking Using 2D-GARCH Model.	ICIAP (2)	2017	DBLP DOI BibTeX RDF
17	Adam Marszalek, Tadeusz Burczynski	Ordered Fuzzy GARCH Model for Volatility Forecasting.	EUSFLAT/IWIFSGN (2)	2017	DBLP DOI BibTeX RDF
17	Werner Kristjanpoller, Marcel C. Minutolo	Forecasting volatility of oil price using an artificial neural network-GARCH model.	Expert Syst. Appl.	2016	DBLP DOI BibTeX RDF
17	Maryam Amirmazlaghani	Additive watermark detection in the wavelet domain using 2D-GARCH model.	Inf. Sci.	2016	DBLP DOI BibTeX RDF
17	S. Hossain, Melody Ghahramani	Shrinkage Estimation of Linear Regression Models with GARCH Errors.	J. Stat. Theory Appl.	2016	DBLP DOI BibTeX RDF
17	Laura Spierdijk	Confidence intervals for ARMA-GARCH Value-at-Risk: The case of heavy tails and skewness.	Comput. Stat. Data Anal.	2016	DBLP DOI BibTeX RDF
17	Qi Li, Heng Lian, Fukang Zhu	Robust closed-form estimators for the integer-valued GARCH (1, 1) model.	Comput. Stat. Data Anal.	2016	DBLP DOI BibTeX RDF
17	Monica Billio, Roberto Casarin, Anthony Osuntuyi	Efficient Gibbs sampling for Markov switching GARCH models.	Comput. Stat. Data Anal.	2016	DBLP DOI BibTeX RDF
17	Sébastien Laurent, Christelle Lecourt, Franz C. Palm	Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach.	Comput. Stat. Data Anal.	2016	DBLP DOI BibTeX RDF
17	Genaro Sucarrat, Steffen Grønneberg, Alvaro Escribano	Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown.	Comput. Stat. Data Anal.	2016	DBLP DOI BibTeX RDF
17	R. R. A. Mendes, Anderson Paulo de Paiva, Rogério Santana Peruchi, Pedro Paulo Balestrassi, Rafael Coradi Leme, Messias Borges da Silva	Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs.	Comput. Oper. Res.	2016	DBLP DOI BibTeX RDF
17	Vladimir Rankovic, Mikica Drenovak, Branko Urosevic, Ranko Jelic	Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach.	Comput. Oper. Res.	2016	DBLP DOI BibTeX RDF
17	Cathy W. S. Chen, Sangyeol Lee, Shu-Yu Chen	Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach.	Comput. Stat.	2016	DBLP DOI BibTeX RDF
17	Jairo Marlon Corrêa, Anselmo Chaves Neto, Luiz Albino Teixeira Junior, Edgar Manoel Careño, Álvaro Eduardo Faria	Time series forecasting with the WARIMAX-GARCH method.	Neurocomputing	2016	DBLP DOI BibTeX RDF
17	Pierpaolo D'Urso, Livia De Giovanni, Riccardo Massari	GARCH-based robust clustering of time series.	Fuzzy Sets Syst.	2016	DBLP DOI BibTeX RDF
17	Nantiworn Thianpaen, Songsak Sriboonchitta	Analyzing MSCI Global Healthcare Return and Volatility with Structural Change Based on Residual CUSUM GARCH Approach.	Causal Inference in Econometrics	2016	DBLP DOI BibTeX RDF
17	Kun Fang 0002, Rui Xue 0003, Yanbo Zhu	GBAS heavy-tail error overbounding with GARCH model.	CITS	2016	DBLP DOI BibTeX RDF
17	Kongliang Zhu, Woraphon Yamaka, Songsak Sriboonchitta	Pair Trading Rule with Switching Regression GARCH Model.	IUKM	2016	DBLP DOI BibTeX RDF
17	Sara Mihandoost, Mehdi Chehel Amirani	Automatic Modulation Classification using combination of Wavelet Transform and GARCH model.	IST	2016	DBLP DOI BibTeX RDF
17	Alexander Porshnev, Valeriya Lakshina, Ilya Redkin	Using Emotional Markers' Frequencies in Stock Market ARMAX-GARCH Model.	EEML@CLA	2016	DBLP BibTeX RDF
17	Balázs Csanád Csáji	Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models.	AISTATS	2016	DBLP BibTeX RDF
17	Werner Kristjanpoller, Marcel C. Minutolo	Gold price volatility: A forecasting approach using the Artificial Neural Network-GARCH model.	Expert Syst. Appl.	2015	DBLP DOI BibTeX RDF
17	Xiang Shi, Lihua Zhang, Young S. A. Kim	A Markov Chain Approximation for American Option Pricing in Tempered Stable-GARCH Models.	Frontiers Appl. Math. Stat.	2015	DBLP DOI BibTeX RDF
17	Sara Mihandoost, Mehdi Chehel Amirani	EEG signal analysis using spectral correlation function & GARCH model.	Signal Image Video Process.	2015	DBLP DOI BibTeX RDF
17	Yanru Zhang, Ali Haghani, Xiaosi Zeng	Component GARCH Models to Account for Seasonal Patterns and Uncertainties in Travel-Time Prediction.	IEEE Trans. Intell. Transp. Syst.	2015	DBLP DOI BibTeX RDF
17	Rong-Xi Zhou, Sinan Du, Mei Yu 0002, Fengmei Yang	Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market.	J. Syst. Sci. Complex.	2015	DBLP DOI BibTeX RDF
17	Jui-Chung Hung	Robust Kalman filter based on a fuzzy GARCH model to forecast volatility using particle swarm optimization.	Soft Comput.	2015	DBLP DOI BibTeX RDF
17	Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega	Non-Gaussian GARCH option pricing models and their diffusion limits.	Eur. J. Oper. Res.	2015	DBLP DOI BibTeX RDF
17	Ranjit Kumar Paul	ARIMAX-GARCH-WAVELET model for forecasting volatile data.	Model. Assist. Stat. Appl.	2015	DBLP DOI BibTeX RDF
17	Saeed Akhavan, Mohammad Ali Akhaee, Saeed Sarreshtedari	Images steganalysis using GARCH model for feature selection.	Signal Process. Image Commun.	2015	DBLP DOI BibTeX RDF
17	Teera Kiatmanaroch, Ornanong Puarattanaarunkorn, Kittawit Autchariyapanitkul, Songsak Sriboonchitta	Volatility Linkages Between Price Returns of Crude Oil and Crude Palm Oil in the ASEAN Region: A Copula Based GARCH Approach.	IUKM	2015	DBLP DOI BibTeX RDF
17	Hung T. Nguyen 0002, Vladik Kreinovich, Olga Kosheleva, Songsak Sriboonchitta	Why ARMAX-GARCH Linear Models Successfully Describe Complex Nonlinear Phenomena: A Possible Explanation.	IUKM	2015	DBLP DOI BibTeX RDF
17	Xue Gong, Songsak Sriboonchitta, Jianxu Liu	The Economic Evaluation of Volatility Timing on Commodity Futures Using Periodic GARCH-Copula Model.	IUKM	2015	DBLP DOI BibTeX RDF
17	Yin Wang, Mario Sznaier, Octavia I. Camps, Felipe M. Pait	Identification of a class of generalized autoregressive conditional heteroskedasticity (GARCH) models with applications to covariance propagation.	CDC	2015	DBLP DOI BibTeX RDF
17	Shiyun Li	Volatility Spillovers in the CSI300 Futures and Spot Markets in China: Empirical Study Based on Discrete Wavelet Transform and VAR-BEKK-bivariate GARCH Model.	ITQM	2015	DBLP DOI BibTeX RDF
17	Diego Acuña, Héctor Allende-Cid, Héctor Allende	The Effect of Innovation Assumptions on Asymmetric GARCH Models for Volatility Forecasting.	CIARP	2015	DBLP DOI BibTeX RDF
17	Omkar P. Badve, Brij B. Gupta, Shingo Yamaguchi, Zhaolong Gou	DDoS detection and filtering technique in cloud environment using GARCH model.	GCCE	2015	DBLP DOI BibTeX RDF
17	Ziyu Li, Atsuyuki Naka	The Study on Dynamic Conditional Correlation-GARCH Model and its Application.	BIC-TA	2015	DBLP DOI BibTeX RDF
17	Xunfa Lu, Kin Keung Lai, Liang Liang 0001	Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model.	Ann. Oper. Res.	2014	DBLP DOI BibTeX RDF
17	Rui Jorge Almeida, Nalan Bastürk, Uzay Kaymak, João M. C. Sousa	Estimation of flexible fuzzy GARCH models for conditional density estimation.	Inf. Sci.	2014	DBLP DOI BibTeX RDF
17	André Alves Portela Santos, Guilherme V. Moura	Dynamic factor multivariate GARCH model.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
17	Massimiliano Caporin, Michael McAleer	Robust ranking of multivariate GARCH models by problem dimension.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
17	Mike K. P. So, Cherry Y. T. Yeung	Vine-copula GARCH model with dynamic conditional dependence.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
17	Maciej Augustyniak	Maximum likelihood estimation of the Markov-switching GARCH model.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
17	Giorgio Calzolari, Roxana Halbleib, Alessandro Parrini	Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
17	Kilani Ghoudi, Bruno N. Rémillard	Comparison of specification tests for GARCH models.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
17	Cathy W. S. Chen, Richard Gerlach, Edward M. H. Lin	Bayesian estimation of smoothly mixing time-varying parameter GARCH models.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
17	Stéphane Chrétien, Juan-Pablo Ortega	Multivariate GARCH estimation via a Bregman-proximal trust-region method.	Comput. Stat. Data Anal.	2014	DBLP DOI BibTeX RDF
17	Xinyu Wu, Wenyu Yang, Chaoqun Ma, Xiujuan Zhao	American option pricing under GARCH diffusion model: An empirical study.	J. Syst. Sci. Complex.	2014	DBLP DOI BibTeX RDF
17	Fabio Bellini, Franco Pellerey, Carlo Sgarra, Salimeh Yasaei Sekeh	Comparison Results for GARCH Processes.	J. Appl. Probab.	2014	DBLP DOI BibTeX RDF
17	Yih-Wenn Laih	Measuring rank correlation coefficients between financial time series: A GARCH-copula based sequence alignment algorithm.	Eur. J. Oper. Res.	2014	DBLP DOI BibTeX RDF
17	Federico Poloni, Giacomo Sbrana	Feasible generalized least squares estimation of multivariate GARCH(1, 1) models.	J. Multivar. Anal.	2014	DBLP DOI BibTeX RDF
17	Juan Pablo Pascual, Nicolás von Ellenrieder, Martin Hurtado, Carlos H. Muravchik	Adaptive Radar Detection Algorithm Based on an Autoregressive GARCH-2D Clutter Model.	IEEE Trans. Signal Process.	2014	DBLP DOI BibTeX RDF
17	Ghulam Rasool 0001, Nidhal Bouaynaya, Kamran Iqbal, Gannon A. White	Surface myoelectric signal classification using the AR-GARCH model.	Biomed. Signal Process. Control.	2014	DBLP DOI BibTeX RDF
17	Selçuk Bayraci, Gazanfer Ünal	Stochastic interest rate volatility modeling with a continuous-time GARCH(1, 1) model.	J. Comput. Appl. Math.	2014	DBLP DOI BibTeX RDF
17	Xue Gong, Songsak Sriboonchitta	Co-movement of Prices of Energy and Agricultural Commodities in Biofuel Era: A Period-GARCH Copula Approach.	TES	2014	DBLP DOI BibTeX RDF
17	Xue Gong, Songsak Sriboonchitta	How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model.	TES	2014	DBLP DOI BibTeX RDF
17	Tongvang Xiongtoua, Songsak Sriboonchitta	Analysis of Volatility of and Dependence between Exchange Rate and Inflation Rate in Lao People's Democratic Republic Using Copula-Based GARCH Approach.	TES	2014	DBLP DOI BibTeX RDF
17	Ornanong Puarattanaarunkorn, Songsak Sriboonchitta	Analyzing Relationship between Tourist Arrivals from China and India to Thailand Using Copula Based GARCH and Seasonal Pattern.	TES	2014	DBLP DOI BibTeX RDF
17	Ornanong Puarattanaarunkorn, Songsak Sriboonchitta	Copula Based GARCH Dependence Model of Chinese and Korean Tourist Arrivals to Thailand: Implications for Risk Management.	TES	2014	DBLP DOI BibTeX RDF
17	Sangyeol Lee, Jiyeon Lee	Residual Based Cusum Test for Parameter Change in AR-GARCH Models.	TES	2014	DBLP DOI BibTeX RDF
17	Cathy W. S. Chen, Max Chen, Shu-Yu Chen	Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models.	TES	2014	DBLP DOI BibTeX RDF
17	Teera Kiatmanaroch, Songsak Sriboonchitta	Relationship between Exchange Rates, Palm Oil Prices, and Crude Oil Prices: A Vine Copula Based GARCH Approach.	TES	2014	DBLP DOI BibTeX RDF
17	Juan Pablo Pascual, Nicolás von Ellenrieder, Carlos H. Muravchik	Conditional variance LMMSE estimator for a GARCH process clutter model.	SAM	2014	DBLP DOI BibTeX RDF
17	Paria Soleimani, Reza Hadizadeh	Monitoring simple linear profiles in the presence of GARCH and non-normality effects.	CoDIT	2014	DBLP DOI BibTeX RDF
17	Soheil Almasi Monfared, David Enke	Volatility Forecasting Using a Hybrid GJR-GARCH Neural Network Model.	Complex Adaptive Systems	2014	DBLP DOI BibTeX RDF
17	Paraskevi Katsiampa	A new approach to modelling nonlinear time series: Introducing the ExpAR-ARCH and ExpAR-GARCH models and applications.	SCOR	2014	DBLP DOI BibTeX RDF
17	Sulin Pang, Yuanxiong Chen	Stock Index Futures Basis and Liquidity of Correlation Analysis and Application Based on t-GARCH-Copula Model.	CIS	2014	DBLP DOI BibTeX RDF
17	Saeed Akhavan, Mohammad Ali Akhaee, Saeed Sarreshtedari	Universal image steganalysis based on GARCH model.	EUSIPCO	2014	DBLP BibTeX RDF
17	Nikolay Y. Nikolaev, Georgi N. Boshnakov, Robert Zimmer	Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation.	Expert Syst. Appl.	2013	DBLP DOI BibTeX RDF
17	Chia-Lin Chang, Lydia González-Serrano, Juan-Angel Jimenez-Martin	Currency hedging strategies using dynamic multivariate GARCH.	Math. Comput. Simul.	2013	DBLP DOI BibTeX RDF
17	Gian Piero Aielli, Massimiliano Caporin	Fast clustering of GARCH processes via Gaussian mixture models.	Math. Comput. Simul.	2013	DBLP DOI BibTeX RDF
17	Juliane Müller 0004, Juho Kanniainen, Robert Piché	Calibration of GARCH models using concurrent accelerated random search.	Appl. Math. Comput.	2013	DBLP DOI BibTeX RDF
17	Takamitsu Kurita	Exploring the Impact of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors.	Commun. Stat. Simul. Comput.	2013	DBLP DOI BibTeX RDF
17	Farrukh Javed, Panagiotis Mantalos	GARCH-Type Models and Performance of Information Criteria.	Commun. Stat. Simul. Comput.	2013	DBLP DOI BibTeX RDF
17	Jorge V. Pérez-Rodríguez, Julián Andrada-Félix	Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples.	Comput. Stat.	2013	DBLP DOI BibTeX RDF