Search results for "GARCH"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
17	Hiroko Kato Solvang, Kentaro Ishizuka, Masakiyo Fujimoto	Voice activity detection based on adjustable linear prediction and GARCH models.	Speech Commun.	2008	DBLP DOI BibTeX RDF
17	Amélie Charles, Olivier Darné	A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment.	Commun. Stat. Simul. Comput.	2008	DBLP DOI BibTeX RDF
17	Steven Cook	Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power.	Commun. Stat. Simul. Comput.	2008	DBLP DOI BibTeX RDF
17	Melody Ghahramani, A. Thavaneswaran	A note on GARCH model identification.	Comput. Math. Appl.	2008	DBLP DOI BibTeX RDF
17	Ling-Ming Kung, Shang-Wu Yu	Prediction of index futures returns and the analysis of financial spillovers - A comparison between GARCH and the grey theorem.	Eur. J. Oper. Res.	2008	DBLP DOI BibTeX RDF
17	Giuseppe Storti	Modelling asymmetric volatility dynamics by multivariate BL-GARCH models.	Stat. Methods Appl.	2008	DBLP DOI BibTeX RDF
17	Pawel Rokita	Extreme Unconditional Dependence Vs. Multivariate GARCH Effect in the Analysis of Dependence Between High Losses on Polish and German Stock Indexes.	GfKl	2008	DBLP DOI BibTeX RDF
17	María Concepción Ausín, Pedro Galeano	Bayesian estimation of the Gaussian mixture GARCH model.	Comput. Stat. Data Anal.	2007	DBLP DOI BibTeX RDF
17	Silvano Bordignon, Massimiliano Caporin, Francesco Lisi	Generalised long-memory GARCH models for intra-daily volatility.	Comput. Stat. Data Anal.	2007	DBLP DOI BibTeX RDF
17	Amir Noiboar, Israel Cohen	Anomaly Detection Based on Wavelet Domain GARCH Random Field Modeling.	IEEE Trans. Geosci. Remote. Sens.	2007	DBLP DOI BibTeX RDF
17	So Young Sohn, Michael K. Lim	Hierarchical forecasting based on AR-GARCH model in a coherent structure.	Eur. J. Oper. Res.	2007	DBLP DOI BibTeX RDF
17	Feng Zhang	An application of vector GARCH model in semiconductor demand planning.	Eur. J. Oper. Res.	2007	DBLP DOI BibTeX RDF
17	Chengjun Li, Ming Zhang	Application of GARCH Model in the Forecasting of Day-Ahead Electricity Prices.	ICNC (1)	2007	DBLP DOI BibTeX RDF
17	Antonio Airton Carneiro de Freitas	Previsão de series temporais via seleção de variaveis, reconstrução dinamica, ARMA-GARCH e redes neurais artificiais.		2007	RDF
17	Wai-Cheung Ip, Heung Wong, Jiazhu Pan, D. F. Li	The asymptotic convexity of the negative likelihood function of GARCH models.	Comput. Stat. Data Anal.	2006	DBLP DOI BibTeX RDF
17	Francesco Audrino	The impact of general non-parametric volatility functions in multivariate GARCH models.	Comput. Stat. Data Anal.	2006	DBLP DOI BibTeX RDF
17	Lorenzo Pascual, Juan Romo, Esther Ruiz	Bootstrap prediction for returns and volatilities in GARCH models.	Comput. Stat. Data Anal.	2006	DBLP DOI BibTeX RDF
17	Thierry Ané	An analysis of the flexibility of Asymmetric Power GARCH models.	Comput. Stat. Data Anal.	2006	DBLP DOI BibTeX RDF
17	Christoph Hartz, Stefan Mittnik, Marc S. Paolella	Accurate value-at-risk forecasting based on the normal-GARCH model.	Comput. Stat. Data Anal.	2006	DBLP DOI BibTeX RDF
17	Giuseppe Storti	Minimum distance estimation of GARCH(1, 1) models.	Comput. Stat. Data Anal.	2006	DBLP DOI BibTeX RDF
17	Michael Nwogugu	Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches.	Appl. Math. Comput.	2006	DBLP DOI BibTeX RDF
17	Ari Abramson, Israel Cohen	State smoothing in Markov-switching time-frequency GARCH models.	IEEE Signal Process. Lett.	2006	DBLP DOI BibTeX RDF
17	Edmond H. C. Wu, Philip L. H. Yu, Wai Keung Li	Value at Risk Estimation Using Independent Component Analysis-generalized Autoregressive Conditional Heteroscedasticity (ica-garch) Models.	Int. J. Neural Syst.	2006	DBLP DOI BibTeX RDF
17	Kin Foon Kevin Wong, Andreas Galka, Okito Yamashita, Tohru Ozaki	Modelling non-stationary variance in EEG time series by state space GARCH model.	Comput. Biol. Medicine	2006	DBLP DOI BibTeX RDF
17	Tetsuya Takaishi	Bayesian Estimation of GARCH Model by Hybrid Monte Carlo.	JCIS	2006	DBLP DOI BibTeX RDF
17	H. S. Ng, Kai-Pui Lam	How Does Sample Size Affect GARCH Models?	JCIS	2006	DBLP DOI BibTeX RDF
17	Dietmar Maringer, Peter Winker	Convergence of GARCH Estimators: Theory and Empirical Evidence.	JCIS	2006	DBLP DOI BibTeX RDF
17	Chung-Gee Lin	An Efficient GARCH Option Pricing Model.	IMECS	2006	DBLP BibTeX RDF
17	Ari Abramson, Israel Cohen	Asymptotic Stationarity of Markov-Switching Time-Frequency Garch Processes.	ICASSP (3)	2006	DBLP DOI BibTeX RDF
17	Giovanni Barone-Adesi, Henrik Rasmussen, Claudia Ravanelli	An option pricing formula for the GARCH diffusion model.	Comput. Stat. Data Anal.	2005	DBLP DOI BibTeX RDF
17	Zhiping Chen	Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control.	OR Spectr.	2005	DBLP DOI BibTeX RDF
17	Zhiping Chen, K. C. Yuen	Optimal consumption and investment problems under GARCH with transaction costs.	Math. Methods Oper. Res.	2005	DBLP DOI BibTeX RDF
17	Christian Menn, Svetlozar T. Rachev	A GARCH option pricing model with alpha-stable innovations.	Eur. J. Oper. Res.	2005	DBLP DOI BibTeX RDF
17	A. Thavaneswaran, Srimantoorao Semischetty Appadoo, M. Samanta	Random coefficient GARCH models.	Math. Comput. Model.	2005	DBLP DOI BibTeX RDF
17	A. Thavaneswaran, S. S. Appadoo, Jagbir Singh	Random coefficient mixture (RCM) GARCH models.	Math. Comput. Model.	2005	DBLP DOI BibTeX RDF
17	Monica Billio, Massimiliano Caporin	Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis.	Stat. Methods Appl.	2005	DBLP DOI BibTeX RDF	Dynamic correlations, Markov switching models, contagion
17	Israel Cohen	Supergaussian GARCH models for speech signals.	INTERSPEECH	2005	DBLP DOI BibTeX RDF
17	Mohamad Abdolahi, Hamidreza Amindavar	GARCH Coefficients as Feature for Speech Recognition in Persian Isolated Digit.	ICASSP (1)	2005	DBLP DOI BibTeX RDF
17	Amir Noiboar, Israel Cohen	Two-dimensional GARCH model with application to anomaly detection.	EUSIPCO	2005	DBLP BibTeX RDF
17	Peter F. Christoffersen, Kris Jacobs	Which GARCH Model for Option Valuation?	Manag. Sci.	2004	DBLP DOI BibTeX RDF
17	Israel Cohen	Modeling speech signals in the time-frequency domain using GARCH.	Signal Process.	2004	DBLP DOI BibTeX RDF
17	Hajime Wago	Bayesian estimation of smooth transition GARCH model using Gibbs sampling.	Math. Comput. Simul.	2004	DBLP DOI BibTeX RDF
17	Shyh-Wei Chen, Chung-Hua Shen	GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate.	Math. Comput. Simul.	2004	DBLP DOI BibTeX RDF
17	Hadi Amiri, Hamidreza Amindavar, Rodney Lynn Kirlin	Array signal processing using GARCH noise modeling.	ICASSP (2)	2004	DBLP DOI BibTeX RDF
17	Giuseppe Storti, Cosimo Vitale	Likelihood inference in BL-GARCH models.	Comput. Stat.	2003	DBLP DOI BibTeX RDF
17	Aslihan Altay-Salih, Mustafa Ç. Pinar, Sven Leyffer	Constrained Nonlinear Programming for Volatility Estimation with GARCH Models.	SIAM Rev.	2003	DBLP DOI BibTeX RDF
17	Peter Reinhard Hansen, Asger Lunde	Does anything beat a GARCH(1, 1)? A comparison based on test for superior predictive ability.	CIFEr	2003	DBLP DOI BibTeX RDF
17	Viswanath Cvsa, Peter H. Ritchken	Pricing Claims Under GARCH-Level Dependent Interest Rate Processes.	Manag. Sci.	2001	DBLP DOI BibTeX RDF
17	Rolf Johansson 0001, Per-Anders Fransson, Måns Magnusson	Identification of adaptation in human postural control using GARCH models.	CDC	2001	DBLP DOI BibTeX RDF
17	Shu-Heng Chen, Wei-Yuan Lin, Chueh-Yung Tsao	Discovering Trading Rules with Genetic Algorithms: An Empirical Study Based on GARCH Time Series.	IC-AI	1999	DBLP BibTeX RDF
17	Wai Ching Wong, Fung Yip, Lei Xu 0001	Financial Prediction by Finite Mixture GARCH Model.	ICONIP	1998	DBLP BibTeX RDF
17	Enrico Capobianco	Misspecifying GARCH-M Processes.	Complex Syst.	1995	DBLP BibTeX RDF
16	Tetsuya Takaishi	Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme.	ACIS-ICIS	2009	DBLP DOI BibTeX RDF
16	Yu Dong, Hu Song	Analysis of Nonlinear Dynamic Structure for the Shanghai Stock Exchange Index.	ISNN (3)	2009	DBLP DOI BibTeX RDF	Conditional heteroscedastic, Stock exchange index, Nonlinear, Asymmetry
16	Kaijian He, Kin Keung Lai, Sy-Ming Guu, Jinlong Zhang	A Wavelet Based Multi Scale VaR Model for Agricultural Market.	MCO	2008	DBLP DOI BibTeX RDF	financial, wavelets and fractals, risk management, time series analysis, Value at Risk
16	Hang T. Nguyen, Ian T. Nabney	Combining the Wavelet Transform and Forecasting Models to Predict Gas Forward Prices.	ICMLA	2008	DBLP DOI BibTeX RDF
16	Erkam Güresen, Gülgün Kayakutlu	Forecasting Stock Exchange Movements Using Artificial Neural Network Models and Hybrid Models.	Intelligent Information Processing	2008	DBLP DOI BibTeX RDF
16	Kaijian He, Chi Xie, Kin Keung Lai	Estimation of Value-at-Risk for Exchange Risk Via Kernel Based Nonlinear Ensembled Multi Scale Model.	ISNN (1)	2008	DBLP DOI BibTeX RDF	Nonlinear ensemble, Support vector regression, Wavelet analysis, Principle component analysis, Value at risk
16	Hongquan Li, Wei Shang, Shouyang Wang	Heterogeneity and Endogenous Nonlinearity in an Artificial Stock Model.	ICCS (2)	2008	DBLP DOI BibTeX RDF	Endogenous fluctuations, Nonlinearity, Computational finance, Heterogeneous agents
16	He Qi-zhi	Risk Measure of Shibor Based on VAR and EGARCH.	CSSE (5)	2008	DBLP DOI BibTeX RDF
16	Shian-Chang Huang, Tung-Kuang Wu	Forecasting stock indices with wavelet-based kernel partial least square regressions.	IJCNN	2008	DBLP DOI BibTeX RDF
16	Don Jyh-Fu Jeng, Junzo Watada, Berlin Wu, Jui-Yu Wu	Fuzzy Forecasting with DNA Computing.	DNA	2006	DBLP DOI BibTeX RDF
16	He Ni, Hujun Yin	Recurrent Self-Organising Maps and Local Support Vector Machine Models for Exchange Rate Prediction.	ISNN (2)	2006	DBLP DOI BibTeX RDF
16	André Alves Portela Santos, Leandro dos Santos Coelho	Neural Networks, Fuzzy System, and Linear Models in Forecasting Exchange Rates: Comparison and Case Studies.	IJCNN	2006	DBLP DOI BibTeX RDF
16	Jian Li, Laiwan Chan	Reward Adjustment Reinforcement Learning for Risk-averse Asset Allocation.	IJCNN	2006	DBLP DOI BibTeX RDF
16	Shian-Chang Huang, Tung-Kuang Wu	Wavelet-Based Relevance Vector Machines for Stock Index Forecasting.	IJCNN	2006	DBLP DOI BibTeX RDF
16	Nikos S. Thomaidis, Nick Kondakis, Georgios Dounias	An Intelligent Statistical Arbitrage Trading System.	SETN	2006	DBLP DOI BibTeX RDF
16	Shian-Chang Huang, Hsing-Wen Wang	Combining Time-Scale Feature Extractions with SVMs for Stock Index Forecasting.	ICONIP (3)	2006	DBLP DOI BibTeX RDF
16	Felix Chan, Dora Vasileva Marinova, Michael McAleer	Modelling the asymmetric volatility of anti-pollution patents in the USA.	Scientometrics	2004	DBLP DOI BibTeX RDF
16	Spiros Papadimitriou, Anthony Brockwell, Christos Faloutsos	Adaptive, unsupervised stream mining.	VLDB J.	2004	DBLP DOI BibTeX RDF
16	Hongwei Qi, Jue Wang	A model for mining outliers from complex data sets.	SAC	2004	DBLP DOI BibTeX RDF	stock market, principal curve, Outlier Mining
16	Roland Mestel, Henryk Gurgul, Pawel Majdosz	On the Empirical Linkages between Stock Prices and Trading Activity on the German Stock Market.	OR	2004	DBLP DOI BibTeX RDF
16	Tatiana Miazhynskaia, Georg Dorffner, Engelbert J. Dockner	Risk Management Application of the Recurrent Mixture Density Network Models.	ICANN	2003	DBLP DOI BibTeX RDF
16	Alberto Suárez 0001	Mixtures of Autoregressive Models for Financial Risk Analysis.	ICANN	2002	DBLP DOI BibTeX RDF
16	Peter Tiño, Christian Schittenkopf, Georg Dorffner	Volatility Trading ia Temporal Pattern Recognition in Quantised Financial Time Series.	Pattern Anal. Appl.	2001	DBLP BibTeX RDF	Prediction suffix trees, Straddle, Markov models, Options, Volatility, Fractal geometry
16	David Edelman, Thomas Gillespie	The Stochastically Subordinated Poisson Normal Process for Modelling Financial Assets.	Ann. Oper. Res.	2000	DBLP DOI BibTeX RDF	heteroscedasticity, leptokurtic, non-normal, stable, option