Showing 1 - 20 results of 134 for search '"Garching"', query time: 0.65s Refine Results
  1. 1
    A Study on GARCH volatility processes in pricing derivatives
    by Wang, Yizhe
    Published 2019
    Subjects: “...Asymmetric GARCH models...”
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  2. 2
    Neglecting Parameter Changes in GARCH Option Pricing Models and VAR
    by Hurmeydan, Burak
    Published 2008
    “...In GARCH models, neglecting parameter changes in the conditional volatility process results...”
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  3. 3
    GARCH vs stochastic volatility. Option pricing and risk management.
    “... framework, namely a GARCH and a stochastic volatility option pricing model. The models are calibrated...”
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  4. 4
    Risk properties and parameter estimation on mean reversion and Garch models
    by Sypkens, Roelf
    Published 2011
    Subjects: “...GARCH model...”
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  5. 5
    Risk properties and parameter estimation on mean reversion and Garch models
    by Sypkens, Roelf
    Published 2011
    Subjects: “...GARCH model...”
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  6. 6
    Approches nouvelles des modèles GARCH multivariés en grande dimension
    by Poignard, Benjamin
    Published 2017
    “...Ce document traite du problème de la grande dimension dans des processus GARCH multivariés...”
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  7. 7
    Testing the predictive ability of corridor implied volatility under GARCH models
    by Lu, Shan
    Published 2019
    Subjects: “...GARCH models...”
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  8. 8
    [en] RISK NEUTRAL OPTION PRICING UNDER SOME SPECIAL GARCH MODELS
    Subjects: “...[pt] GARCH MULTIVARIADO...”
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  9. 9
    The asymmetric reverting property of stock returns on the JSE: an ANAR-GJR GARCH approach
    by Unterhalter, Amber
    Published 2015
    “..., and the GJR Generalized Autoregressive Conditional Heteroskedasticity (“GJR GARCH”) model of Glosten...”
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  10. 10
    An ICA-GARCH approach to computing portfolio VAR with applications to South African financial markets
    by Mombeyarara, Victor
    Published 2017
    “..., there are different methods of measuring the volatility of the underlying asset. These range from the univariate GARCH...”
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  11. 11
    A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
    Subjects: “...Bayesian inference / Bayesian model selection / GARCH models / Markov Chain Monte Carlo (MCMC...”
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  12. 12
    Modelling and forecasting the volatility of JSE returns: a comparison of competing univariate GARCH models
    by Kgosietsile, Oratile
    Published 2015
    “... variance) using the GARCH (1, 1), GARCH-M (1, 1), EGARCH (1, 1), GJR-GARCH (1, 1), APGARCH (1, 1), EWMA...”
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  13. 13
    Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index
    by Rahmani, Mohammadsaeid
    Published 2016
    Subjects: “...GARCH Models...”
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  14. 14
    The impact of MENA conflicts (the Arab Spring) on global financial markets
    by Mousavi, Mohammad M., Quenniche, J.
    Published 2018
    Subjects: “...T-GARCH...”
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  15. 15
    An ARCH/GARCH arbitrage pricing theory approach to modelling the return generating process of South African stock returns.
    by Szczygielski, Jan Jakub
    Published 2013
    Subjects: “...GARCH...”
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  16. 16
    La dépendance entre le marché financier et le marché de matières premières : une approche copule
    by Soury, Manel
    Published 2018
    Subjects: “...Garch...”
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  17. 17
    Multivariate Time Series Analysis of the Investment Guarantee in Canadian Segregated Fund Products
    by Liu, Jie
    Published 2008
    Subjects: “...Multivariate GARCH...”
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  18. 18
    Multivariate Time Series Analysis of the Investment Guarantee in Canadian Segregated Fund Products
    by Liu, Jie
    Published 2008
    Subjects: “...Multivariate GARCH...”
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  19. 19
    Forecasting time-dependent conditional densities. A neural network approach.
    Subjects: “...conditional densities / forecasting / GARCH / neural networks / volatility...”
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  20. 20
    Bitcoin: Technology, Economics and Business Ethics
    by Aljohani, Azizah
    Published 2017
    Subjects: “...GARCH model...”
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