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Analytic Derivatives and the Computation of GARCH Estimates

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Cited by:

  1. Dean Fantazzini, 2022. "Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death," JRFM, MDPI, vol. 15(7), pages 1-34, July.
  2. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
  3. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
  4. H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 45-59, March.
  5. Antonis Demos & Dimitra Kyriakopoulou, 2011. "Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model," DEOS Working Papers 1108, Athens University of Economics and Business.
  6. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
  7. Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
  8. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024.
  9. Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2022. "Gaussian Rank Correlation and Regression," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 269-306, Emerald Group Publishing Limited.
  10. Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.
  11. Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
  12. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  13. P. S. Sephton, 2000. "Financial analysis package for GAUSS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 433-438.
  14. Vladimír Holý & Jan Zouhar, 2022. "Modelling time‐varying rankings with autoregressive and score‐driven dynamics," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1427-1450, November.
  15. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415.
  16. McCullough, B D, 1999. "Econometric Software Reliability: EViews, LIMDEP, SHAZAM and TSP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 191-202, March-Apr.
  17. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871.
  18. Lucchetti, Riccardo, 2002. "Analytical Score for Multivariate GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 19(2), pages 133-143, April.
  19. Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society.
  20. Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
  21. Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "A Socio-Finance Model: Inference and empirical application," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215605, HAL.
  22. Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
  23. C. R. McKenzie & Sumiko Takaoka, 2007. "EViews 5.1," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(6), pages 1145-1152.
  24. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian matrices and the computation of FIGARCH estimates," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(2), pages 247-264, June.
  25. Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Feb 2017.
  26. Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
  27. McCullough, B. D., 2000. "Is it safe to assume that software is accurate?," International Journal of Forecasting, Elsevier, vol. 16(3), pages 349-357.
  28. B. D. McCullough & H. D. Vinod, 2003. "Verifying the Solution from a Nonlinear Solver: A Case Study," American Economic Review, American Economic Association, vol. 93(3), pages 873-892, June.
  29. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute.
  30. Tsatsura, Oleg, 2010. "A Smooth Transition GARCH-M Model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 45-61.
  31. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.
  32. Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
  33. Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "A Socio-Finance Model: Inference and empirical application," SciencePo Working papers Main hal-01215605, HAL.
  34. Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
  35. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
  36. Chelsey Hill & B. D. McCullough, 2019. "On The Accuracy of GARCH Estimation in R Packages," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(2), pages 133-156, December.
  37. Tomoaki Nakatani & Timo Terasvirta, 2009. "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, March.
  38. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707.
  39. Marcel P. Visser, 2011. "GARCH Parameter Estimation Using High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 162-197, Winter.
  40. Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir, 2012. "Estimation of SEM with GARCH errors," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3153-3181.
  41. Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  42. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
  43. Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
  44. Choi, Hwan-sik & Kiefer, Nicholas M., 2005. "Software evaluation: EasyReg International," International Journal of Forecasting, Elsevier, vol. 21(3), pages 609-616.
  45. K. Diamantopoulos & I. Vrontos, 2010. "A Student-t Full Factor Multivariate GARCH Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 63-83, January.
  46. Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017. "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
  47. Gita Persand & Chris Brooks & Simon P. Burke, 2003. "Multivariate GARCH models: software choice and estimation issues," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 725-734.
  48. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
  49. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
  50. Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
  51. Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
  52. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
  53. Y. K. Tse, 2002. "Residual-based diagnostics for conditional heteroscedasticity models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 358-374, June.
  54. Geweke, John & Durham, Garland, 2019. "Sequentially adaptive Bayesian learning algorithms for inference and optimization," Journal of Econometrics, Elsevier, vol. 210(1), pages 4-25.
  55. Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
  56. Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  57. Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2016.
  58. Franses, Ph.H.B.F. & van Dijk, D.J.C., 1999. "Outlier detection in the GARCH (1,1) model," Econometric Institute Research Papers EI 9926-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  59. H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
  60. Tsui, Albert K, 2004. "Diagnostics for conditional heteroscedasticity models: some simulation results," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 113-119.
  61. Peter Winker & Dietmar Maringer, 2009. "The convergence of estimators based on heuristics: theory and application to a GARCH model," Computational Statistics, Springer, vol. 24(3), pages 533-550, August.
  62. repec:hal:wpaper:hal-01943883 is not listed on IDEAS
  63. Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008. "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 741-753, May.
  64. Andrew P. Blake, 2004. "Analytic Derivatives for Linear Rational Expectations Models," Computational Economics, Springer;Society for Computational Economics, vol. 24(1), pages 77-96, August.
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