This paper provides a review of some recent theoretical results for time series models with
GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model …

Abstract Dyhrberg [2016. Bitcoin, gold and the dollar–A GARCH volatility analysis. Finance
Research Letters 16, 85–92] analyzes the relationship between Bitcoin, gold and the US …

This paper discusses and documents G@ RCH 2.2, an Ox package dedicated to the
estimation and forecast of various univariate ARCH–type models including GARCH …

Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …

The theory and practice of time series analysis have developed rapidly since the
appearance in 1970 of the seminal work of George EP Box and Gwilym M. Jenkins, Time …

This paper investigates the asymptotic theory for a vector autoregressive moving average–
generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The …

In the 20 years following the publication of the ARCH model, there has been a vast quantity
of research uncovering the properties of competing volatility models. Wide‐ranging …

This book contains a up-to-date overview of nonlinear time series models and their
application to modelling economic relationships. It considers nonlinear models in stationary …

The object of probability theory is to describe and investigate mathematical models of
random phenomena, primarily from a theoretical point of view. Statistics is concerned with …

[eng] Inclan and Tiao (1994) proposed a test for the detection of changes of the
unconditional variance which has been used in financial time series analysis. In this article …