Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500

Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500

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Бібліографічні деталі
Дата:2021
Автори: A. Settar, N. I. Fatmi, M. Badaoui
Формат: Стаття
Мова:English
Опубліковано: 2021
Назва видання:Mathematical Modeling and Computing
Онлайн доступ:http://jnas.nbuv.gov.ua/article/UJRN-0001283029
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Назва журналу:Library portal of National Academy of Sciences of Ukraine | LibNAS

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Library portal of National Academy of Sciences of Ukraine | LibNAS
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spelling open-sciencenbuvgovua-71752024-02-25T16:07:37Z Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500 A. Settar N. I. Fatmi M. Badaoui 2312-9794 2021 en Mathematical Modeling and Computing http://jnas.nbuv.gov.ua/article/UJRN-0001283029 Article
institution Library portal of National Academy of Sciences of Ukraine | LibNAS
collection Open-Science
language English
series Mathematical Modeling and Computing
spellingShingle Mathematical Modeling and Computing
A. Settar
N. I. Fatmi
M. Badaoui
Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500
format Article
author A. Settar
N. I. Fatmi
M. Badaoui
author_facet A. Settar
N. I. Fatmi
M. Badaoui
author_sort A. Settar
title Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500
title_short Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500
title_full Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500
title_fullStr Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500
title_full_unstemmed Quasi-maximum likelihood estimation of the Component-GARCH model using the stochastic approximation algorithm with application to the S&P 500
title_sort quasi-maximum likelihood estimation of the component-garch model using the stochastic approximation algorithm with application to the s&p 500
publishDate 2021
url http://jnas.nbuv.gov.ua/article/UJRN-0001283029
work_keys_str_mv AT asettar quasimaximumlikelihoodestimationofthecomponentgarchmodelusingthestochasticapproximationalgorithmwithapplicationtothesampp500
AT nifatmi quasimaximumlikelihoodestimationofthecomponentgarchmodelusingthestochasticapproximationalgorithmwithapplicationtothesampp500
AT mbadaoui quasimaximumlikelihoodestimationofthecomponentgarchmodelusingthestochasticapproximationalgorithmwithapplicationtothesampp500
first_indexed 2025-07-17T11:30:05Z
last_indexed 2025-07-17T11:30:05Z
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