Analytic Derivatives and the Computation of GARCH Estimates

Citations

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.
   • Fantazzini, Dean, 2022. "Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death," MPRA Paper 113744, University Library of Munich, Germany.
2. 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.
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4. Dean Fantazzini, 2024. "Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets," JRFM, MDPI, vol. 17(6), pages 1-44, June.
   • Fantazzini, Dean, 2024. "Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets," MPRA Paper 121214, University Library of Munich, Germany.
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   • Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
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   • DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.
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    • Jørgen Vitting Andersen & Ioannis D. Vrontos & Petros Dellaportas & Serge Galam, 2015. "A Socio-Finance Model: Inference and empirical application," Documents de travail du Centre d'Economie de la Sorbonne 15076, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    • Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "A Socio-Finance Model: Inference and empirical application," Working Papers hal-01215605, HAL.
    • Jørgen Vitting Andersen & Ioannis D. Vrontos & Petros Dellaportas & Serge Galam, 2015. "A Socio-Finance Model: Inference and empirical application," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01242248, HAL.
    • Jørgen Vitting Andersen & Ioannis D. Vrontos & Petros Dellaportas & Serge Galam, 2015. "A Socio-Finance Model: Inference and empirical application," Post-Print halshs-01242248, HAL.
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19. 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.
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22. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723, November.
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