Keyword: GARCH

Found 7 papers in total
Sudden changes in variance and time varying hedge ratios
Sudden changes in variance and time varying hedge ratios
2011,
This paper analyzes the influence of sudden changes in the unconditional volatility on...
Option pricing under GARCH processes using PDE methods
Option pricing under GARCH processes using PDE methods
2010,
In this paper, we propose a partial differential equation formulation for the value of...
Boosting GARCH and neural networks for the prediction of heteroskedastic time series
Boosting GARCH and neural networks for the prediction of heteroskedastic time series
2010,
This work develops and evaluates new algorithms based on GARCH models, neural networks...
Relationship between inflation and inflation uncertainty: The case of Serbia
Relationship between inflation and inflation uncertainty: The case of Serbia
2009,
The purpose of this paper is to examine the relationship between inflation and...
Forecasting commodity prices: GARCH, jumps, and mean reversion
Forecasting commodity prices: GARCH, jumps, and mean reversion
2008,
In examining stochastic models for commodity prices, central questions often revolve...
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
2008,
This paper investigates the forecasting ability of four different GARCH models and the...
On a dynamic mixture GARCH model
On a dynamic mixture GARCH model
2009,
This paper proposes a new mixture GARCH model with a dynamic mixture proportion. The...
Papers per page: