相关论文: Time Series Analysis of Rankings: A GARCH-Type App…
Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in economic and financial data. To address this gap, we propose a…
We develop a new statistical model to analyse time-varying ranking data. The model can be used with a large number of ranked items, accommodates exogenous time-varying covariates and partial rankings, and is estimated via the maximum…
We propose a multivariate GARCH model for non-stationary health time series by modifying the variance of the observations of the standard state space model. The proposed model provides an intuitive way of dealing with heteroskedastic data…
In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased…
Integer-valued time series exist widely in economics, finance, biology, computer science, medicine, insurance, and many other fields. In recent years, many types of models have been proposed to model integer-valued time series data, in…
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' concerning financial series, and is now…
In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased…
Ranking lists are often provided at regular time intervals in a range of applications, including economics, sports, marketing, and politics. Most popular methods for rank-order data postulate a linear specification for the latent scores,…
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient…
We introduce a heterogeneous spatiotemporal GARCH model for geostatistical data or processes on networks, e.g., for modelling and predicting financial return volatility across firms in a latent spatial framework. The model combines…
Price range contains important information about the asset volatility, and has long been considered an important indicator for it. In this paper, we propose to jointly model the [low, high] price range as a random interval and introduce an…
We propose Neural GARCH, a class of methods to model conditional heteroskedasticity in financial time series. Neural GARCH is a neural network adaptation of the GARCH 1,1 model in the univariate case, and the diagonal BEKK 1,1 model in the…
The advantages of sequential Monte Carlo (SMC) are exploited to develop parameter estimation and model selection methods for GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) style models. It provides an alternative method…
The AutoRegressive Conditional Heteroskedasticity (ARCH) and its generalized version (GARCH) family of models have grown to encompass a wide range of specifications, each of them is designed to enhance the ability of the model to capture…
It is common for long financial time series to exhibit gradual change in the unconditional volatility. We propose a new model that captures this type of nonstationarity in a parsimonious way. The model augments the volatility equation of a…
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…
Estimating conditional quantiles of financial time series is essential for risk management and many other applications in finance. It is well-known that financial time series display conditional heteroscedasticity. Among the large number of…
Here, we have analysed a GARCH(1,1) model with the aim to fit higher order moments for different companies' stock prices. When we assume a gaussian conditional distribution, we fail to capture any empirical data when fitting the first three…
We propose a general class of INteger-valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing time-varying mean and dispersion parameters, which we call time-varying dispersion INGARCH (tv-DINGARCH)…
We study the problem of stationarity and ergodicity for autoregressive multinomial logistic time series models which possibly include a latent process and are defined by a GARCH-type recursive equation. We improve considerably upon the…