Estimation of Volatility on the Small Sample with Generalized Maximum Entropy

Estimation of Volatility on the Small Sample with Generalized Maximum Entropy

© 2018, Springer International Publishing AG, part of Springer Nature. Generalized autoregressive conditional heteroscedasticity (GARCH) provides useful techniques for modeling the dynamic volatility model. Several estimation techniques have been developed over the years, for examples Maximum likeli...

Saved in:

書目詳細資料
Main Authors:	Quanrui Song, Songsak Sriboonchitta, Somsak Chanaim, Chongkolnee Rungruang
格式:	Book Series
出版:	2018
主題:	Computer Science Mathematics
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043990881&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58577
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

相似書籍

Coffee stochastic frontier model with maximum entropy
由: Chatchai Khiewngamdee, et al.
出版: (2018)

Coffee stochastic frontier model with maximum entropy
由: Chatchai Khiewngamdee, et al.
出版: (2018)

A convex combination method for linear regression with interval data
由: Somsak Chanaim, et al.
出版: (2018)

Child-gender preference generalized maximum entropy approach
由: Supanika Leurcharusmee, et al.
出版: (2018)

Comparison of entropy measures in generalized maximum entropy estimation
由: Wilawan Srichaikul, et al.
出版: (2018)

Willingness-to-pay estimation using generalized maximum-entropy: A case study
由: Sriboonchitta,S., et al.
出版: (2015)

Child-gender preference generalized maximum entropy approach
由: Supanika Leurcharusmee, et al.
出版: (2018)

Forecasting GDP in ASIAN countries using relevant vector machines
由: Somsak Chanaim, et al.
出版: (2019)

Prediction the direction of SET50 index using support vector machines
由: Chongkolnee Rungruang, et al.
出版: (2019)

High-order generalized maximum entropy estimator in kink regression model
由: Payap Tarkhamtham, et al.
出版: (2019)

The generalize maximum Tsallis entropy estimator in kink regression model
由: Payap Tarkhamtham, et al.
出版: (2018)

Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
由: Xue Gong, et al.
出版: (2018)

On the parametric interest of the option price of stock from black-scholes equation
由: Amnuay Kananthai, et al.
出版: (2020)

A convex combination method for quantile regression with interval data
由: Somsak Chanaim, et al.
出版: (2018)

The Role of Agricultural Commodity Prices in a Portfolio
由: Chatchai Khiewngamdee, et al.
出版: (2018)

Modelling Thailand tourism demand: A dual generalized maximum entropy estimator for panel data regression models
由: Warattaya Chinnakum, et al.
出版: (2018)

Estimating and Predicting Financial Series by Entropy-Based Inferential Model
由: Tanarat Rattanadamrongaksorn, et al.
出版: (2018)

Modelling Thailand tourism demand: A dual generalized maximum entropy estimator for panel data regression models
由: Warattaya Chinnakum, et al.
出版: (2018)

Pension choices of senior citizens in Thailand: A multi-label classification with generalized maximum entropy
由: Thamonwan Ruanto, et al.
出版: (2018)

Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
由: Xue Gong, et al.
出版: (2018)

Maximum entropy quantile regression with unknown quantile
由: Kanchana Chokethaworn, et al.
出版: (2018)

A convex combination method for quantile regression with interval data
由: Somsak Chanaim, et al.
出版: (2018)

A copula-based stochastic frontier model and efficiency analysis: Evidence from stock exchange of Thailand
由: Phachongchit Tibprasorn, et al.
出版: (2018)

Pension choices of senior citizens in Thailand: A multi-label classification with generalized maximum entropy
由: Thamonwan Ruanto, et al.
出版: (2018)

Maximum entropy quantile regression with unknown quantile
由: Kanchana Chokethaworn, et al.
出版: (2018)

Bayesian reliability estimation for deteriorating systems with limited samples using the maximum entropy approach
由: Xiao, N.-C, et al.
出版: (2020)

Risk measurement of stock markets in BRICS, G7, and G20: Vine copulas versus factor copulas
由: Quanrui Song, et al.
出版: (2019)

Predicting stock returns in the capital asset pricing model using quantile regression and belief functions
由: Kittawit Autchariyapanitkul, et al.
出版: (2018)

An empirical examination of maximum entropy in copula-based simultaneous equations model
由: Kanchana Choktaworn, et al.
出版: (2018)

The classifier chain generalized maximum entropy model for multi-label choice problems
由: Leurcharusmee S., et al.
出版: (2015)

Multi-process-based maximum entropy bootstrapping estimator: Application for net foreign direct investment in ASEAN
由: Arisara Romyen, et al.
出版: (2019)

Volatility hedging model for precious metal futures returns
由: Roengchai Tansuchat, et al.
出版: (2018)

Maximum entropy as a feasible way to describe joint distribution in expert systems
由: Thongchai Dumrongpokaphan, et al.
出版: (2018)

A flood risk assessment based on maximum flow capacity of canal system
由: Jirakom Sirisrisakulchai, et al.
出版: (2018)

Volatility Jump Detection in Thailand Stock Market
由: Saowaluk Duangin, et al.
出版: (2018)

Efficient estimation of integrated volatility functionals under general volatility dynamics
由: LI, Jia, et al.
出版: (2021)

Using second-order probabilities to make maximum entropy approach to copulas more reasonable
由: Hung T. Nguyen, et al.
出版: (2018)

Quantum Econometrics: How to Explain Its Quantitative Successes and How the Resulting Formulas Are Related to Scale Invariance, Entropy, and Fuzziness
由: Kittawit Autchariyapanitkul, et al.
出版: (2018)

Volatility and dependence for systemic risk measurement of the international financial system
由: Jianxu Liu, et al.
出版: (2018)

An empirical examination of maximum entropy in copula-based simultaneous equations model
由: Kanchana Choktaworn, et al.
出版: (2018)