Browsing by Subject "GARCH model"

Now showing items 1-2 of 2

    • Article  

      A Haar-Fisz technique for locally stationary volatility estimation 

      Fryzlewicz, P.; Sapatinas, Theofanis; Rao, S. S. (2006)
      We consider a locally stationary model for financial log-returns whereby the returns are independent and the volatility is a piecewise-constant function with jumps of an unknown number and locations, defined on a compact ...
    • Article  

      Two Cholesky-log-GARCH models for multivariate volatilities 

      Pedeli, Xanthi; Fokianos, Konstantinos; Pourahmadi, M. (2015)
      Parsimonious estimation of high-dimensional covariance matrices is of fundamental importance in multivariate statistics. Typical examples occur in finance, where the instantaneous dependence among several asset returns ...