Search results for "GARCH"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
17	Juan Pablo Pascual, Nicolás von Ellenrieder, Martin Hurtado, Carlos Horacio Muravchik	Radar detection algorithm for GARCH clutter model.	Digit. Signal Process.	2013	DBLP DOI BibTeX RDF
17	Ngai Hang Chan, Rongmao Zhang	Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations.	J. Multivar. Anal.	2013	DBLP DOI BibTeX RDF
17	Giacomo Sbrana, Federico Poloni	A closed-form estimator for the multivariate GARCH(1, 1)(1, 1) model.	J. Multivar. Anal.	2013	DBLP DOI BibTeX RDF
17	Hashem Kalbkhani, Mahrokh G. Shayesteh, Behrooz Zali-Vargahan	Robust algorithm for brain magnetic resonance image (MRI) classification based on GARCH variances series.	Biomed. Signal Process. Control.	2013	DBLP DOI BibTeX RDF
17	Saman Mousazadeh, Israel Cohen	ARCH and GARCH parameter estimation in presence of additive noise using particle methods.	ICASSP	2013	DBLP DOI BibTeX RDF
17	Takashi Oshiba, Kazuaki Nakajima	Multi-step-ahead prediction of IP packet delay variation based on a GARCH model.	MMSP	2013	DBLP DOI BibTeX RDF
17	Tetsuya Takaishi	Markov Chain Monte Carlo versus Importance Sampling in Bayesian Inference of the GARCH Model.	KES	2013	DBLP DOI BibTeX RDF
17	Congcong Wang, Rongda Chen	Forecasting CSI 300 Volatility: The Role of Persistence, Asymmetry, and Distributional Assumption in Garch Models.	BIFE	2013	DBLP DOI BibTeX RDF
17	Marggie Ma, Jiangze Du, Kin Keung Lai	Modeling Volatility of Exchange Rate of Chinese Yuan against US Dollar Based on GARCH Models.	BIFE	2013	DBLP DOI BibTeX RDF
17	Xianbo Meng, Changchun Bao, Bing-yin Xia	A speech enhancement algorithm based on β-order GARCH model.	ChinaSIP	2013	DBLP DOI BibTeX RDF
17	Mehmet Orhan, Bülent Köksal	A comparison of GARCH models for VaR estimation.	Expert Syst. Appl.	2012	DBLP DOI BibTeX RDF
17	Ying-Chie Chen, Yuh-Dauh Lyuu, Kuo-Wei Wen	The Complexity of GARCH Option Pricing Models.	J. Inf. Sci. Eng.	2012	DBLP BibTeX RDF
17	Petros Dellaportas, Mohsen Pourahmadi	Cholesky-GARCH models with applications to finance.	Stat. Comput.	2012	DBLP DOI BibTeX RDF
17	Jaya Krishnakumar, Andi Kabili, Ilir Roko	Estimation of SEM with GARCH errors.	Comput. Stat. Data Anal.	2012	DBLP DOI BibTeX RDF
17	Bernhard Klar, Franziska Lindner, Simos G. Meintanis	Specification tests for the error distribution in GARCH models.	Comput. Stat. Data Anal.	2012	DBLP DOI BibTeX RDF
17	Richard Luger	Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations.	Comput. Stat. Data Anal.	2012	DBLP DOI BibTeX RDF
17	Philippe J. Deschamps	Bayesian estimation of generalized hyperbolic skewed student GARCH models.	Comput. Stat. Data Anal.	2012	DBLP DOI BibTeX RDF
17	Ricardo S. Ehlers	Computational tools for comparing asymmetric GARCH models via Bayes factors.	Math. Comput. Simul.	2012	DBLP DOI BibTeX RDF
17	Sunita Narang	Re-Examining the Nifty Returns after the First Decade of Derivative Trading in Indian Capital Market Using Non-Linear Asymmetric GARCH Models.	Int. J. Innov. Digit. Econ.	2012	DBLP DOI BibTeX RDF
17	Matteo Bonato	Modeling fat tails in stock returns: a multivariate stable-GARCH approach.	Comput. Stat.	2012	DBLP DOI BibTeX RDF
17	S. S. Appadoo, Aerambamoorthy Thavaneswaran, Saumen Mandal	RCA model with quadratic GARCH innovation distribution.	Appl. Math. Lett.	2012	DBLP DOI BibTeX RDF
17	Lucio De Capitani	Interval estimation for the Sharpe Ratio when returns are not i.i.d. with special emphasis on the GARCH(1, 1) process with symmetric innovations.	Stat. Methods Appl.	2012	DBLP DOI BibTeX RDF
17	Yan Gao, Chengjun Zhang, Liyan Zhang	Comparison of GARCH Models based on Different Distributions.	J. Comput.	2012	DBLP BibTeX RDF
17	Ayman A. Amin, Alan Colman, Lars Grunske	An Approach to Forecasting QoS Attributes of Web Services Based on ARIMA and GARCH Models.	ICWS	2012	DBLP DOI BibTeX RDF
17	Yan Gao, Dongmei Li, Lihui Zhou	Comparison of Different Expanded GED-GARCH for Exchange Rate Volatility.	ICICA (1)	2012	DBLP DOI BibTeX RDF
17	Mohammadehsan Hajiramezanali, Hamidreza Amindavar	Maneuvering target tracking based on SDE driven by garch volatility.	SSP	2012	DBLP DOI BibTeX RDF
17	Ghulam Rasool 0001, Nidhal Bouaynaya, Kamran Iqbal	Muscle activity detection from myoelectric signals based on the AR-GARCH model.	SSP	2012	DBLP DOI BibTeX RDF
17	Rui Jorge Almeida, Nalan Bastürk, Uzay Kaymak, João Miguel da Costa Sousa	Conditional Density Estimation Using Fuzzy GARCH Models.	SMPS	2012	DBLP DOI BibTeX RDF
17	Mircea Gherman, Romulus Terebes, Monica Borda	Time series analysis using wavelets and GJR-GARCH models.	EUSIPCO	2012	DBLP BibTeX RDF
17	Mohammadehsan Hajiramezanali, Hamidreza Amindavar	Maneuvering target tracking based on combined stochastic differential equations and garch process.	ISSPA	2012	DBLP DOI BibTeX RDF
17	Seyyed Hamed Fouladi, Hamidreza Amindavar	Blind separation of dependent sources using multiwavelet based on M-GARCH model.	ISSPA	2012	DBLP DOI BibTeX RDF
17	Mauri Aparecido de Oliveira	The influence of ARIMA-GARCH parameters in feed forward neural networks prediction.	Neural Comput. Appl.	2011	DBLP DOI BibTeX RDF
17	Jui-Chung Hung	Adaptive Fuzzy-GARCH model applied to forecasting the volatility of stock markets using particle swarm optimization.	Inf. Sci.	2011	DBLP DOI BibTeX RDF
17	Xin Zhao, Carl John Scarrott, Les Oxley, Marco Reale	GARCH dependence in extreme value models with Bayesian inference.	Math. Comput. Simul.	2011	DBLP DOI BibTeX RDF
17	Felix Chan, Billy Theoharakis	Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation.	Math. Comput. Simul.	2011	DBLP DOI BibTeX RDF
17	Shian-Chang Huang	Wavelet-based multi-resolution GARCH model for financial spillover effects.	Math. Comput. Simul.	2011	DBLP DOI BibTeX RDF
17	Sahm Kim	Forecasting internet traffic by using seasonal GARCH models.	J. Commun. Networks	2011	DBLP DOI BibTeX RDF
17	Jen-Je Su	On the Oversized Problem of Dickey-Fuller-Type Tests with GARCH Errors.	Commun. Stat. Simul. Comput.	2011	DBLP DOI BibTeX RDF
17	Tomi Helin, Hannu Koivisto	The GARCH-FuzzyDensity method for density forecasting.	Appl. Soft Comput.	2011	DBLP DOI BibTeX RDF
17	Jui-Chung Hung	Applying a combined fuzzy systems and GARCH model to adaptively forecast stock market volatility.	Appl. Soft Comput.	2011	DBLP DOI BibTeX RDF
17	Shelton Peiris, A. Thavaneswaran, S. S. Appadoo	Doubly stochastic models with GARCH innovations.	Appl. Math. Lett.	2011	DBLP DOI BibTeX RDF
17	Saman Mousazadeh, Israel Cohen	AR-GARCH in Presence of Noise: Parameter Estimation and Its Application to Voice Activity Detection.	IEEE ACM Trans. Audio Speech Lang. Process.	2011	DBLP DOI BibTeX RDF
17	Yue Xu, Sulin Pang	Correlation Analysis of Yield and Volatility Based on GARCH Family Models.	Modeling Risk Management for Resources and Environment in China	2011	DBLP DOI BibTeX RDF
17	Chenyi Chen, Jianming Hu, Qiang Meng, Yi Zhang 0029	Short-time traffic flow prediction with ARIMA-GARCH model.	Intelligent Vehicles Symposium	2011	DBLP DOI BibTeX RDF
17	Yan Gao, Chengjun Zhang, Liyan Zhang	Comparative Analysis of Three GARCH Models Based on MCMC.	ICICA (2)	2011	DBLP DOI BibTeX RDF
17	Yen-Hsien Lee, Tung-Yueh Pai	REIT volatility prediction for skew-GED distribution of the GARCH model.	Expert Syst. Appl.	2010	DBLP DOI BibTeX RDF
17	Hung-Chun Liu, Jui-Cheng Hung	Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models.	Expert Syst. Appl.	2010	DBLP DOI BibTeX RDF
17	Xinhong Lu, Ken-ichi Kawai, Koichi Maekawa	Estimating bivariate GARCH-Jump Model Based on High Frequency Data: the Case of Revaluation of the Chinese Yuan in July 2005.	Asia Pac. J. Oper. Res.	2010	DBLP DOI BibTeX RDF
17	David Ardia, Lennart F. Hoogerheide	Bayesian Estimation of the GARCH(1, 1) Model with Student-t Innovations.	R J.	2010	DBLP DOI BibTeX RDF
17	Farhat Iqbal, Kanchan Mukherjee	M-estimators of some GARCH-type models; computation and application.	Stat. Comput.	2010	DBLP DOI BibTeX RDF
17	Saman Mousazadeh, Israel Cohen	Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise.	Signal Process.	2010	DBLP DOI BibTeX RDF
17	Cuicui Luo, Luis A. Seco, Haofei Wang, Desheng Dash Wu	Risk modeling in crude oil market: a comparison of Markov switching and GARCH models.	Kybernetes	2010	DBLP DOI BibTeX RDF
17	Ying Zhang, Damien Fay, Liam Kilmartin, Andrew W. Moore 0002	A Garch-based adaptive playout delay algorithm for VoIP.	Comput. Networks	2010	DBLP DOI BibTeX RDF
17	Michèle Breton, Javier de Frutos	Option Pricing Under GARCH Processes Using PDE Methods.	Oper. Res.	2010	DBLP DOI BibTeX RDF
17	Kris Boudt, Christophe Croux	Robust M-estimation of multivariate GARCH models.	Comput. Stat. Data Anal.	2010	DBLP DOI BibTeX RDF
17	Zhongfang He, John M. Maheu	Real time detection of structural breaks in GARCH models.	Comput. Stat. Data Anal.	2010	DBLP DOI BibTeX RDF
17	E. Rossi, F. Spazzini	Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis.	Comput. Stat. Data Anal.	2010	DBLP DOI BibTeX RDF
17	Yushu Li, Ghazi Shukur	Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion.	Commun. Stat. Simul. Comput.	2010	DBLP DOI BibTeX RDF
17	José M. Matías, Manuel Febrero-Bande, Wenceslao González-Manteiga, Juan Carlos Reboredo	Boosting GARCH and neural networks for the prediction of heteroskedastic time series.	Math. Comput. Model.	2010	DBLP DOI BibTeX RDF
17	Massimiliano Caporin, Francesco Lisi	Misspecification tests for periodic long memory GARCH models.	Stat. Methods Appl.	2010	DBLP DOI BibTeX RDF
17	Adnen Ben Nasr, Mohamed Boutahar, Abdelwahed Trabelsi	Fractionally integrated time varying GARCH model.	Stat. Methods Appl.	2010	DBLP DOI BibTeX RDF
17	Ronald Tor Das, Kai Keng Ang, Chai Quek	A synergy of econometrics and computational methods (GARCH-RNFS) for volatility forecasting.	IEEE Congress on Evolutionary Computation	2010	DBLP DOI BibTeX RDF
17	Wouter Tavernier, Dimitri Papadimitriou, Didier Colle, Mario Pickavet, Piet Demeester	Using AR(I)MA-GARCH models for improving the IP routing table update.	ICUMT	2010	DBLP DOI BibTeX RDF
17	Tomer Michaeli, Israel Cohen	Particle filtering based recovery of noisy GARCH processes.	ICASSP	2010	DBLP DOI BibTeX RDF
17	Ren-Shuo Liu, Yun-Cheng Tsai, Chia-Lin Yang	Parallelization and characterization of GARCH option pricing on GPUs.	IISWC	2010	DBLP DOI BibTeX RDF
17	André Alves Portela Santos, Leandro dos Santos Coelho, Carlos Eduardo Klein	Forecasting electricity prices using a RBF neural network With GARCH errors.	IJCNN	2010	DBLP DOI BibTeX RDF
17	Luo Dengyue	Liquidity Risk and Asset Pricing: The Multivariate GARCH-in-Mean Application.	ICEE	2010	DBLP DOI BibTeX RDF
17	Christian M. Hafner	GARCH Modeling.	Encyclopedia of Complexity and Systems Science	2009	DBLP DOI BibTeX RDF
17	Hatem Ben Ameur, Michèle Breton, Juan-Manuel Martinez	Dynamic Programming Approach for Valuing Options in the GARCH Model.	Manag. Sci.	2009	DBLP DOI BibTeX RDF
17	Yi-Hsien Wang	Nonlinear neural network forecasting model for stock index option price: Hybrid GJR-GARCH approach.	Expert Syst. Appl.	2009	DBLP DOI BibTeX RDF
17	Melike Bildirici, Özgür Ömer Ersin	Improving forecasts of GARCH family models with the artificial neural networks: An application to the daily returns in Istanbul Stock Exchange.	Expert Syst. Appl.	2009	DBLP DOI BibTeX RDF
17	Jui-Chung Hung	A fuzzy GARCH model applied to stock market scenario using a genetic algorithm.	Expert Syst. Appl.	2009	DBLP DOI BibTeX RDF
17	Henghsiu Tsai, Kung-Sik Chan	A note on the non-negativity of continuous-time ARMA and GARCH processes.	Stat. Comput.	2009	DBLP DOI BibTeX RDF	Lévy process, Global optimization, Kernel, DIRECT, Volatility
17	Jui-Chung Hung	A Fuzzy Asymmetric GARCH model applied to stock markets.	Inf. Sci.	2009	DBLP DOI BibTeX RDF
17	Markus Haas, Stefan Mittnik, Marc S. Paolella	Asymmetric multivariate normal mixture GARCH.	Comput. Stat. Data Anal.	2009	DBLP DOI BibTeX RDF
17	Yan Liu, Richard Luger	Efficient estimation of copula-GARCH models.	Comput. Stat. Data Anal.	2009	DBLP DOI BibTeX RDF
17	Kin-Yip Ho, Albert K. Tsui, Zhaoyong Zhang	Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach.	Math. Comput. Simul.	2009	DBLP DOI BibTeX RDF
17	Kai-Pui Lam, H. S. Ng	Intra-daily information of range-based volatility for MEM-GARCH.	Math. Comput. Simul.	2009	DBLP DOI BibTeX RDF
17	Jie Zhu	Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach.	Math. Comput. Simul.	2009	DBLP DOI BibTeX RDF
17	YiHao Lai, Cathy W. S. Chen, Richard Gerlach	Optimal dynamic hedging via copula-threshold-GARCH models.	Math. Comput. Simul.	2009	DBLP DOI BibTeX RDF
17	Olha Bodnar	Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes.	Commun. Stat. Simul. Comput.	2009	DBLP DOI BibTeX RDF
17	Fabio Bellini, Leonardo Bottolo	Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation.	Commun. Stat. Simul. Comput.	2009	DBLP DOI BibTeX RDF
17	Miguel Jerez, José M. Casals, Sonia Sotoca	Likelihood stabilization for ill-conditioned vector GARCH models.	Comput. Stat.	2009	DBLP DOI BibTeX RDF
17	Peter Winker, Dietmar Maringer	The convergence of estimators based on heuristics: theory and application to a GARCH model.	Comput. Stat.	2009	DBLP DOI BibTeX RDF
17	Christian Menn, Svetlozar T. Rachev	Smoothly truncated stable distributions, GARCH-models, and option pricing.	Math. Methods Oper. Res.	2009	DBLP DOI BibTeX RDF
17	A. Thavaneswaran, S. S. Appadoo, Melody Ghahramani	RCA models with GARCH innovations.	Appl. Math. Lett.	2009	DBLP DOI BibTeX RDF
17	Begoña Fernández, Nelson Muriel	Regular variation and related results for the multivariate GARCH(p, q) model with constant conditional correlations.	J. Multivar. Anal.	2009	DBLP DOI BibTeX RDF
17	S. Ajay Chandra	Testing the equality of error distributions from k independent GARCH models.	J. Multivar. Anal.	2009	DBLP DOI BibTeX RDF
17	Christian M. Hafner, Arie Preminger	On asymptotic theory for multivariate GARCH models.	J. Multivar. Anal.	2009	DBLP DOI BibTeX RDF
17	A. Thavaneswaran, S. S. Appadoo, Alex Paseka	Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing.	Math. Comput. Model.	2009	DBLP DOI BibTeX RDF
17	Dingde Jiang, Guangmin Hu	GARCH model-based large-scale IP traffic matrix estimation.	IEEE Commun. Lett.	2009	DBLP DOI BibTeX RDF
17	Altaf Hossain, Faisal Zaman, M. Nasser, M. Mufakhkharul Islam	Comparison of GARCH, Neural Network and Support Vector Machine in Financial Time Series Prediction.	PReMI	2009	DBLP DOI BibTeX RDF
17	Maryam Amirmazlaghani, Hamidreza Amindavar	EMG signal denoising via Bayesian wavelet shrinkage based on GARCH modeling.	ICASSP	2009	DBLP DOI BibTeX RDF
17	Jian Wang, Xiaotao Wu, Mingli Zhong	Empirical Analysis of the Market Risk of Chinese Open-Ended Funds Based on GARCH-VaR Models.	CSO (1)	2009	DBLP DOI BibTeX RDF
17	Xiaofeng Zhang, Jun Du	Empirical Analysis of GARCH Effect for Mixed Jump of Shanghai Security Index.	BIFE	2009	DBLP DOI BibTeX RDF
17	Christian Francq, Jean-Michel Zakoian	Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference.	Comput. Stat. Data Anal.	2008	DBLP DOI BibTeX RDF
17	D. Giannikis, Ioannis D. Vrontos, Petros Dellaportas	Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models.	Comput. Stat. Data Anal.	2008	DBLP DOI BibTeX RDF
17	Yung-Lieh Yang, Chia-Lin Chang	A double-threshold GARCH model of stock market and currency shocks on stock returns.	Math. Comput. Simul.	2008	DBLP DOI BibTeX RDF
17	Pui Lam Leung, Wing-Keung Wong	Three-factor profile analysis with GARCH innovations.	Math. Comput. Simul.	2008	DBLP DOI BibTeX RDF
17	Steven Cook	Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues.	Math. Comput. Simul.	2008	DBLP DOI BibTeX RDF