FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2080888974> ?p ?o ?g. }

• W2080888974 endingPage "503" @default.
• W2080888974 startingPage "485" @default.
• W2080888974 abstract "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 results demonstrate that constrained nonlinear programming is a worthwhile exercise for GARCH models, especially for the bivariate and trivariate cases, as they offer a significant improvement in the quality of the solution of the optimization problem over the diagonal VECH and the BEKK representations of the multivariate GARCH model." @default.
• W2080888974 created "2016-06-24" @default.
• W2080888974 creator A5028421252 @default.
• W2080888974 creator A5036308638 @default.
• W2080888974 creator A5084814006 @default.
• W2080888974 date "2003-01-01" @default.
• W2080888974 modified "2023-10-10" @default.
• W2080888974 title "Constrained Nonlinear Programming for Volatility Estimation with GARCH Models" @default.
• W2080888974 cites W1977480757 @default.
• W2080888974 cites W1979575715 @default.
• W2080888974 cites W1998968611 @default.
• W2080888974 cites W1999996900 @default.
• W2080888974 cites W2024617211 @default.
• W2080888974 cites W2050097912 @default.
• W2080888974 cites W2053928465 @default.
• W2080888974 cites W2063593194 @default.
• W2080888974 cites W2065266849 @default.
• W2080888974 cites W2090637028 @default.
• W2080888974 cites W2098027073 @default.
• W2080888974 cites W2106292145 @default.
• W2080888974 cites W2143080915 @default.
• W2080888974 cites W2157496047 @default.
• W2080888974 cites W3114379428 @default.
• W2080888974 cites W3123405574 @default.
• W2080888974 cites W3125246470 @default.
• W2080888974 cites W4229692665 @default.
• W2080888974 cites W4241115065 @default.
• W2080888974 cites W4248435245 @default.
• W2080888974 cites W4252336336 @default.
• W2080888974 doi "https://doi.org/10.1137/s003614450140011" @default.
• W2080888974 hasPublicationYear "2003" @default.
• W2080888974 type Work @default.
• W2080888974 sameAs 2080888974 @default.
• W2080888974 citedByCount "20" @default.
• W2080888974 countsByYear W20808889742012 @default.
• W2080888974 countsByYear W20808889742013 @default.
• W2080888974 countsByYear W20808889742014 @default.
• W2080888974 countsByYear W20808889742015 @default.
• W2080888974 countsByYear W20808889742018 @default.
• W2080888974 countsByYear W20808889742020 @default.
• W2080888974 crossrefType "journal-article" @default.
• W2080888974 hasAuthorship W2080888974A5028421252 @default.
• W2080888974 hasAuthorship W2080888974A5036308638 @default.
• W2080888974 hasAuthorship W2080888974A5084814006 @default.
• W2080888974 hasBestOaLocation W20808889742 @default.
• W2080888974 hasConcept C101104100 @default.
• W2080888974 hasConcept C105795698 @default.
• W2080888974 hasConcept C115527620 @default.
• W2080888974 hasConcept C121332964 @default.
• W2080888974 hasConcept C126255220 @default.
• W2080888974 hasConcept C130367717 @default.
• W2080888974 hasConcept C149782125 @default.
• W2080888974 hasConcept C158622935 @default.
• W2080888974 hasConcept C159877910 @default.
• W2080888974 hasConcept C23922673 @default.
• W2080888974 hasConcept C2524010 @default.
• W2080888974 hasConcept C33923547 @default.
• W2080888974 hasConcept C41008148 @default.
• W2080888974 hasConcept C62520636 @default.
• W2080888974 hasConcept C64341305 @default.
• W2080888974 hasConcept C85393063 @default.
• W2080888974 hasConcept C91602232 @default.
• W2080888974 hasConceptScore W2080888974C101104100 @default.
• W2080888974 hasConceptScore W2080888974C105795698 @default.
• W2080888974 hasConceptScore W2080888974C115527620 @default.
• W2080888974 hasConceptScore W2080888974C121332964 @default.
• W2080888974 hasConceptScore W2080888974C126255220 @default.
• W2080888974 hasConceptScore W2080888974C130367717 @default.
• W2080888974 hasConceptScore W2080888974C149782125 @default.
• W2080888974 hasConceptScore W2080888974C158622935 @default.
• W2080888974 hasConceptScore W2080888974C159877910 @default.
• W2080888974 hasConceptScore W2080888974C23922673 @default.
• W2080888974 hasConceptScore W2080888974C2524010 @default.
• W2080888974 hasConceptScore W2080888974C33923547 @default.
• W2080888974 hasConceptScore W2080888974C41008148 @default.
• W2080888974 hasConceptScore W2080888974C62520636 @default.
• W2080888974 hasConceptScore W2080888974C64341305 @default.
• W2080888974 hasConceptScore W2080888974C85393063 @default.
• W2080888974 hasConceptScore W2080888974C91602232 @default.
• W2080888974 hasIssue "3" @default.
• W2080888974 hasLocation W20808889741 @default.
• W2080888974 hasLocation W20808889742 @default.
• W2080888974 hasOpenAccess W2080888974 @default.
• W2080888974 hasPrimaryLocation W20808889741 @default.
• W2080888974 hasRelatedWork W1571697851 @default.
• W2080888974 hasRelatedWork W1978055342 @default.
• W2080888974 hasRelatedWork W2076771524 @default.
• W2080888974 hasRelatedWork W2766762058 @default.
• W2080888974 hasRelatedWork W2887109161 @default.
• W2080888974 hasRelatedWork W2913923655 @default.
• W2080888974 hasRelatedWork W2916433218 @default.
• W2080888974 hasRelatedWork W3123854698 @default.
• W2080888974 hasRelatedWork W3125784162 @default.
• W2080888974 hasRelatedWork W3203159568 @default.
• W2080888974 hasVolume "45" @default.
• W2080888974 isParatext "false" @default.
• W2080888974 isRetracted "false" @default.
• W2080888974 magId "2080888974" @default.

• next