Automatized GARCH parameter estimation
This paper is about automatizing parameter estimation of GARCH type conditional volatility models for the sake of using it in an automated risk monitoring system. Many challenges arise with this task such as guaranteeing convergence, being able to yield reasonable results regardless of the quality o...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2017
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213725 |