Relevant bibliographies by topics / COGARCH

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'COGARCH'

Author: Grafiati
Published: 9 March 2023

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Journal articles on the topic "COGARCH"

1

Behme, Anita, Claudia Klüppelberg, and Kathrin Mayr. "Asymmetric COGARCH processes." Journal of Applied Probability 51, A (December 2014): 161–73. http://dx.doi.org/10.1239/jap/1417528473.

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Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time GARCH model, concentrating then on the GJR-COGARCH model. We calculate higher-order moments and extend the first-jump approximation. These results are prerequisites for moment estimation and pseudo maximum likelihood estimation of the GJR-COGARCH model parameters, respectively, which we derive in detail.
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Behme, Anita, Claudia Klüppelberg, and Kathrin Mayr. "Asymmetric COGARCH processes." Journal of Applied Probability 51, A (December 2014): 161–73. http://dx.doi.org/10.1017/s0021900200021252.

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Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time GARCH model, concentrating then on the GJR-COGARCH model. We calculate higher-order moments and extend the first-jump approximation. These results are prerequisites for moment estimation and pseudo maximum likelihood estimation of the GJR-COGARCH model parameters, respectively, which we derive in detail.
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Haug, Stephan, Claudia Klüppelberg, and German Straub. "Fractionally Integrated COGARCH Processes*." Journal of Financial Econometrics 16, no. 4 (2018): 599–628. http://dx.doi.org/10.1093/jjfinec/nby020.

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Behme, Anita, Carsten Chong, and Claudia Klüppelberg. "Superposition of COGARCH processes." Stochastic Processes and their Applications 125, no. 4 (April 2015): 1426–69. http://dx.doi.org/10.1016/j.spa.2014.11.004.

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Stelzer, Robert. "Multivariate COGARCH(1, 1) processes." Bernoulli 16, no. 1 (February 2010): 80–115. http://dx.doi.org/10.3150/09-bej196.

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Muller, G. "MCMC Estimation of the COGARCH(1,1) Model." Journal of Financial Econometrics 8, no. 4 (August 11, 2010): 481–510. http://dx.doi.org/10.1093/jjfinec/nbq029.

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Marín, J. M., M. T. Rodríguez-Bernal, and E. Romero. "Data cloning estimation of GARCH and COGARCH models." Journal of Statistical Computation and Simulation 85, no. 9 (April 8, 2014): 1818–31. http://dx.doi.org/10.1080/00949655.2014.903948.

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Haug, S., C. Klüppelberg, A. Lindner, and M. Zapp. "Method of moment estimation in the COGARCH(1,1) model." Econometrics Journal 10, no. 2 (June 3, 2007): 320–41. http://dx.doi.org/10.1111/j.1368-423x.2007.00210.x.

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Kallsen, Jan, and Bernhard Vesenmayer. "COGARCH as a continuous-time limit of GARCH(1,1)." Stochastic Processes and their Applications 119, no. 1 (January 2009): 74–98. http://dx.doi.org/10.1016/j.spa.2007.12.008.

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Swishchuk, Anatoliy, and Matthew Couch. "Volatility and Variance Swaps for the COGARCH(1,1) Model." Wilmott Journal 2, no. 5 (October 2010): 231–46. http://dx.doi.org/10.1002/wilj.34.

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Dissertations / Theses on the topic "COGARCH"

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IANNACE, MAURO. "COGARCH processes: theory and asymptotics for the pseudo-maximum likelihood estimator." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2014. http://hdl.handle.net/10281/55528.

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COGARCH processes are Lévy driven continuous time version of well known GARCH models for modeling high-fequency financial returns. We firstly discuss the properties about Lévy processes such as symmetric and asymmetric COGARCH models. These results are prerequisites to draw statistical inference from irregularly spaced observations. In particular, we focus on the pseudo-maximum likelihood method in order to extend some asymptotic results to the asymmetric model.
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Haug, Stephan. "Exponential COGARCH and other continuous time models with applications to high frequency data /." [S.l.] : [s.n.], 2007. http://mediatum2.ub.tum.de/doc/620244/document.pdf.

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Schnurr, Alexander. "The Symbol of a Markov Semimartingale." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2009. http://nbn-resolving.de/urn:nbn:de:bsz:14-ds-1244626491491-70401.

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We prove that every (nice) Feller process is an It^o process in the sense of Cinlar, Jacod, Protter and Sharpe (1980). Next we generalize the notion of the symbol and define it for this larger class of processes. As examples the solutions of stochastic differential equations are considered. The symbol is then used to derive a quick approach to the semimartingale characteristics as well as the generator of the process under consideration. Finally we give some examples of how our methods work for processes used in mathematical finance
Wir haben gezeigt, dass jeder (nette) Feller Prozess ein It^o Prozess im Sinne von Cinlar, Jacod, Protter und Sharpe (1980) ist. Es stellt sich heraus, dass man den Begriff des Symbols, der für Feller Prozesse bekannt ist, auf diese größere Klasse verallgemeinern kann. Dieses Symbol haben wir für die Lösungen verschiedener stochastischer Differentialgleichungen berechnet. Außerdem haben wir gezeigt, dass das Symbol einen schnellen Zugang zur Berechnung der Semimartingal-Charakteristiken und des Erzeugers eines It^o Prozesses liefert. Zuletzt wurden die Ergebnisse auf Prozesse angewendet, die in der Finanzmathematik gebräuchlich sind. - (Die Dissertation ist veröffentlicht im Shaker Verlag GmbH, Postfach 101818, 52018 Aachen, Deutschland, http://www.shaker.de, ISBN: 978-3-8322-8244-8)
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Schnurr, Alexander. "The Symbol of a Markov Semimartingale." Doctoral thesis, Technische Universität Dresden, 2008. https://tud.qucosa.de/id/qucosa%3A23843.

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We prove that every (nice) Feller process is an It^o process in the sense of Cinlar, Jacod, Protter and Sharpe (1980). Next we generalize the notion of the symbol and define it for this larger class of processes. As examples the solutions of stochastic differential equations are considered. The symbol is then used to derive a quick approach to the semimartingale characteristics as well as the generator of the process under consideration. Finally we give some examples of how our methods work for processes used in mathematical finance.
Wir haben gezeigt, dass jeder (nette) Feller Prozess ein It^o Prozess im Sinne von Cinlar, Jacod, Protter und Sharpe (1980) ist. Es stellt sich heraus, dass man den Begriff des Symbols, der für Feller Prozesse bekannt ist, auf diese größere Klasse verallgemeinern kann. Dieses Symbol haben wir für die Lösungen verschiedener stochastischer Differentialgleichungen berechnet. Außerdem haben wir gezeigt, dass das Symbol einen schnellen Zugang zur Berechnung der Semimartingal-Charakteristiken und des Erzeugers eines It^o Prozesses liefert. Zuletzt wurden die Ergebnisse auf Prozesse angewendet, die in der Finanzmathematik gebräuchlich sind. - (Die Dissertation ist veröffentlicht im Shaker Verlag GmbH, Postfach 101818, 52018 Aachen, Deutschland, http://www.shaker.de, ISBN: 978-3-8322-8244-8)
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Briche, Julien. "Adaptation d'un algorithme génétique pour la reconstruction de réseaux de régulation génétique : COGARE." Phd thesis, Université du Sud Toulon Var, 2009. http://tel.archives-ouvertes.fr/tel-00479671.

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Nous proposons une approche “algorithme génétique” pour la reconstruction génomique. Notre approche introduit le concept d'algorithmie génétique multi-échelle : l'optimisation est conduite simultanément à une échelle locale et à une échelle globale. La fonction d'efficacité est donc hybride. Notre approche prend également en compte plusieurs types de données, dynamiques, statiques, ou imposées. Il en résulte un nouveau logiciel de reconstruction génomique, COGARE. Il est étalonné sur données simulées et comparé aux algorithmes existants. Il est utilisé sur deux cas réels, sur lesquels il révèle des capacités à renvoyer des informations pertinentes au biologiste.
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Rello, Condomines Enric. "La importancia de la responsabilidad social corporativa : propuesta de aplicación en el ámbito de las gestorías administrativas adscritas al COGAC." Doctoral thesis, Universitat Abat Oliba, 2017. http://hdl.handle.net/10803/456081.

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Aquesta investigació estudia l’abast de la responsabilitat social corporativa al camp dels despatxos professionals, incidint amb especial atenció al grau d’implantació a les Gestories Administratives adscrites al Col·legi Oficial de Gestors Administratius de Catalunya de la província de Lleida. S’analitzen els conceptes i àmbits de la responsabilitat social empresarial. En el present treball s’estudia la conceptualització doctrinal de la Responsabilitat Social Corporativa en els seus aspectes legislatius, de gestió organitzativa i de les seves capacitats en l’àmbit del màrqueting. Mitjançant el present treball s’obté evidencia de que les Gestories Administratives de la província de Lleida mantenen un alt grau de retard en la implantació i difusió de polítiques de Responsabilitat Social Corporativa. Per tant, després de la investigació empírica de cada una de les pàgines web de les Gestories Administratives en relació a quatre variables significatives: existència de memòria anual de RSC, de codi de conducta, d’accions de sostenibilitat, i de publicació i transparència de resultats econòmics i financers, es constata que hi ha grans possibilitats de desenvolupament a nivell de màrqueting social.
Esta investigación estudia el impacto de la responsabilidad social corporativa en el ámbito de los despachos profesionales, prestando especial atención al grado de implantación en las Gestorías Administrativas adscritas al Col·legi oficial de Gestors Administratius de Catalunya de la provincia de Lleida. Se analizan los conceptos y ámbitos de la responsabilidad social empresarial. En el presente trabajo se estudia la conceptualización doctrinal de la Responsabilidad Social Corporativa en sus aspectos legislativos, junto a los aspectos de gestión organizativa y sus capacidades en el ámbito del marketing. Mediante el presente trabajo se obtiene evidencia de que las Gestorías Administrativas de la provincia de Lleida mantienen un elevado grado de retraso en la implantación y difusión de políticas de Responsabilidad Social Corporativa. Así mismo, después de la investigación empírica de cada una de las páginas web de las Gestorías Administrativas en relación a cuatro variables significativas: existencia de memoria anual de RSC, de código de conducta, de acciones de sostenibilidad, y de publicitación y transparencia de resultados económicos y financieros, se constatan grandes posibilidades de desarrollo en materia de marketing social.
This research studies the impact of corporate social responsibility in the field of consultancy firms, paying particular attention to the degree of implementation in the Gestorias Administrativas attached to the Col•legi oficial de Gestors Administratius de Catalunya in the province of Lleida. Concepts and scope of corporate social responsibility are analyzed in this study. In this paper the doctrinal conceptualization of Corporate Social Responsibility from the legal point of view is studied, along with aspects of organizational management and its prospects in the field of marketing. Based on this research, it has been found that of the Gestorías Administrativas in the province of Lleida experience a substantial delay in the implementation and dissemination of Corporate Social Responsibility policies. Moreover, following the empirical research of the websites of each studied Gestorías Administrativas in relation to four variables: the existence of an annual CSR report, code of conduct, sustainability actions, and publication and transparency regarding economic and financial results, a great development potential in the field of social marketing has been identified.
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Haug, Stephan [Verfasser]. "Exponential COGARCH and other continuous time models : with applications to high frequency data / Stephan Haug." 2007. http://d-nb.info/98543211X/34.

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Books on the topic "COGARCH"

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Cogadh dearg. Baile Átha Cliath: Coiscéim, 2008.

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Confhaola, Colm Mac. Cogadh 'gus cathú. Binn Éadair, BÁC [i.e. Baile Átha Cliath]: Coiscéim, 2002.

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illustrator, McEwen Katharine, Uí Mhaicín Máire translator, McEwen Katharine copyright holder, Criterion Press (Colour Printers) (Dublin, Ireland),, Ireland Foras na Gaeilge, and Ireland Gúm, eds. Cogadh na bhfrídíní. Baile Átha Cliath: An Gúm, 2002.

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Aonghusa, Proinsias Mac. Ros Muc agus Cogadh na Saoirse. Baile Átha Cliath: Conradh na Gaeilge, 1992.

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Cogadh na gCarad: Ón chonradh go saorstát. Binn Éadair, B.Á.C: Coiscéim, 2013.

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Dargie, Riseard. Alba san dara cogadh =: Scotland in World War 11. Hove: Wayland, 1997.

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Máille, Tomás Ó. An tIomaire Rua: Cogadh na saoirse i dtuaisceart Chonamara. Baile Átha Cliath: An Gúm, 2007.

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Music of the Scottish regiments: Cogadh no sith = war or peace. Edinburgh: Mercat Press, 2001.

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Morley, Vincent. Washington i gceannas a ríochta: Cogadh Mheiriceá i litríocht na Gaeilge. Binn Éadair, Baile Átha Cliath: Coiscéim, 2005.

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Murray, David. Music of the Scottish regiments: Cogadh no sith (war or peace). Edinburgh: Pentland Press, 1994.

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Book chapters on the topic "COGARCH"

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Iacus, Stefano M., and Nakahiro Yoshida. "COGARCH Models." In Use R!, 237–56. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-55569-0_7.

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Klüppelberg, Claudia, Alexander Lindner, and Ross Maller. "Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models." In From Stochastic Calculus to Mathematical Finance, 393–419. Berlin, Heidelberg: Springer Berlin Heidelberg, 2006. http://dx.doi.org/10.1007/978-3-540-30788-4_21.

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Arı, Yakup. "Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework." In Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, 301–21. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-54108-8_13.

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Baumgarten, Rolf, and David Stifter. "Cogadh Gaedhel re Gallaibh." In Kindlers Literatur Lexikon (KLL), 1–2. Stuttgart: J.B. Metzler, 2020. http://dx.doi.org/10.1007/978-3-476-05728-0_4664-1.

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Wahidin, Azrini. "An Cogadh Fada: The Legacy of Conflict in Northern Ireland." In Ex-Combatants, Gender and Peace in Northern Ireland, 23–60. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/978-1-137-36330-5_3.

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Arı, Yakup. "COGARCH Models." In Emerging Applications of Differential Equations and Game Theory, 79–97. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0134-4.ch005.

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In this chapter, the features of a continuous time GARCH (COGARCH) process is discussed since the process can be applied as an explicit solution for the stochastic differential equation which is defined for the volatility of unequally spaced time series. COGARCH process driven by a Lévy process is an analogue of discrete time GARCH process and is further generalized to solutions of Lévy driven stochastic differential equations. The Compound Poisson and Variance Gamma processes are defined and used to derive the increments for the COGARCH process. Although there are various parameter estimation methods introduced for COGARCH, this study is focused on two methods which are Pseudo Maximum Likelihood Method and General Methods of Moments. Furthermore, an example is given to illustrate the findings.
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"Volatility and Variance Swaps for the COGARCH(1,1) Model." In Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 211–24. WORLD SCIENTIFIC, 2013. http://dx.doi.org/10.1142/9789814440134_0015.

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"Whatever Became of George Cogar?" In A Few Good Men From Univac. The MIT Press, 1990. http://dx.doi.org/10.7551/mitpress/2983.003.0014.

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Conference papers on the topic "COGARCH"

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"CogART 2008." In First International Workshop on Cognitive Radio and Advanced Spectrum Management, CogART 2008. IEEE, 2008. http://dx.doi.org/10.1109/cogart.2008.4509980.

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Marchetti, Nicola, Simone Frattasi, and Christian Kloch. "Welcome message of CogART'09." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management (CogART). IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167217.

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Marchetti, Nicola, Simone Frattasi, and Christian Kloch. "Welcome message of CogART'09." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management (CogART). IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167219.

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"Hub page - 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management [breaker page]." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management (CogART). IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167206.

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"Session list." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management. IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167207.

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"Table of contents." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management (CogART). IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167208.

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"Brief author index." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management. IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167209.

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"Detailed auhor index." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management. IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167210.

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"Abstract cards." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management. IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167211.

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"End breaker." In 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management. IEEE, 2009. http://dx.doi.org/10.1109/cogart.2009.5167212.

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Reports on the topic "COGARCH"

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Heatherly, Christopher J. Cogadh na Saoirse: British Intelligence Operations During the Anglo-Irish War (1916-1921). Fort Belvoir, VA: Defense Technical Information Center, May 2010. http://dx.doi.org/10.21236/ada523173.

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