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URN: urn:nbn:de:swb:90-243060

Minimally cross-entropic conditional density : a generalization of the GARCH model

Scherer, Matthias

The stylized fact of time-varying volatility in financial series is commonly accepted amongst scholars as well as practitioners. The GARCH model has been exceptionally successful in this area. Our approach, the minimally cross-entropic conditional density (MCECD) model, is a generalization of GARCH(1,1) which can cope with conditional skewness and kurtosis. It is so-named because the parameter updating method is based on cross-entropy minimization rather than autoregression.

Zugehörige Institution(en) am KIT Institut für Wirtschaftstheorie und Statistik (ETS)
Publikationstyp Hochschulschrift
Jahr 2011
Sprache Englisch
Identifikator KITopen ID: 1000024306
Abschlussart Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Wirtschaftstheorie und Statistik (ETS)
Prüfungsdaten 11.05.2011
Referent/Betreuer Prof. S. T. Rachev
Schlagworte Time series analysis, autoregression, GARCH, minimum cross-entropy
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