Constrained Nonlinear Programming for Volatility Estimation with GARCH Models
نویسندگان
چکیده
منابع مشابه
Constrained Nonlinear Programming for Volatility Estimation with GARCH Models
This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models in financial econometrics. These models are usually presented to the reader as unconstrained optimization models with recursive terms in the literature, whereas they actually fall into the domain of nonconvex nonlinear programming. Our re...
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ژورنال
عنوان ژورنال: SIAM Review
سال: 2003
ISSN: 0036-1445,1095-7200
DOI: 10.1137/s003614450140011