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Journal articles on the topic 'COGARCH'

To see the other types of publications on this topic, follow the link: COGARCH.

Author: Grafiati

Published: 9 March 2023

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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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2

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

Wee, Damien C. H., Feng Chen, and William T. M. Dunsmuir. "Likelihood Inference for a COGARCH Process Using Sequential Monte Carlo*." Journal of Financial Econometrics 17, no. 2 (June 4, 2018): 229–53. http://dx.doi.org/10.1093/jjfinec/nby012.

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12

Müller, Gernot, Robert B. Durand, and Ross A. Maller. "The risk–return tradeoff: A COGARCH analysis of Merton's hypothesis." Journal of Empirical Finance 18, no. 2 (March 2011): 306–20. http://dx.doi.org/10.1016/j.jempfin.2010.11.003.

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13

Bingham, N. H., and Badr Missaoui. "Aspects of prediction." Journal of Applied Probability 51, A (December 2014): 189–201. http://dx.doi.org/10.1239/jap/1417528475.

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We survey some aspects of the classical prediction theory for stationary processes, in discrete time in Section 1, turning in Section 2 to continuous time, with particular reference to reproducing-kernel Hilbert spaces and the sampling theorem. We discuss the discrete-continuous theories of ARMA-CARMA, GARCH-COGARCH, and OPUC-COPUC in Section 3. We compare the various models treated in Section 4 by how well they model volatility, in particular volatility clustering. We discuss the infinite-dimensional case in Section 5, and turn briefly to applications in Section 6.

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14

Klüppelberg, Claudia, Alexander Lindner, and Ross Maller. "A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour." Journal of Applied Probability 41, no. 3 (September 2004): 601–22. http://dx.doi.org/10.1239/jap/1091543413.

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We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure convergence of ARCH(1) and GARCH(1,1) discrete-time models, to suggest an extension of the ARCH and GARCH concepts to continuous-time processes. Our ‘COGARCH’ (continuous-time GARCH) model, based on a single background driving Lévy process, is different from, though related to, other continuous-time stochastic volatility models that have been proposed. The model generalises the essential features of discrete-time GARCH processes, and is amenable to further analysis, possessing useful Markovian and stationarity properties.

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15

Klüppelberg, Claudia, Alexander Lindner, and Ross Maller. "A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour." Journal of Applied Probability 41, no. 03 (September 2004): 601–22. http://dx.doi.org/10.1017/s0021900200020428.

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We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure convergence of ARCH(1) and GARCH(1,1) discrete-time models, to suggest an extension of the ARCH and GARCH concepts to continuous-time processes. Our ‘COGARCH’ (continuous-time GARCH) model, based on a single background driving Lévy process, is different from, though related to, other continuous-time stochastic volatility models that have been proposed. The model generalises the essential features of discrete-time GARCH processes, and is amenable to further analysis, possessing useful Markovian and stationarity properties.

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16

Bingham, N. H., and Badr Missaoui. "Aspects of prediction." Journal of Applied Probability 51, A (December 2014): 189–201. http://dx.doi.org/10.1017/s0021900200021276.

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Abstract:

We survey some aspects of the classical prediction theory for stationary processes, in discrete time in Section 1, turning in Section 2 to continuous time, with particular reference to reproducing-kernel Hilbert spaces and the sampling theorem. We discuss the discrete-continuous theories of ARMA-CARMA, GARCH-COGARCH, and OPUC-COPUC in Section 3. We compare the various models treated in Section 4 by how well they model volatility, in particular volatility clustering. We discuss the infinite-dimensional case in Section 5, and turn briefly to applications in Section 6.

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17

Bibbona, Enrico, and Ilia Negri. "Higher Moments and Prediction-Based Estimation for the COGARCH(1,1) Model." Scandinavian Journal of Statistics 42, no. 4 (March 3, 2015): 891–910. http://dx.doi.org/10.1111/sjos.12142.

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18

Mba, Jules Clement, and Sutene Mwambi. "A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization." Financial Markets and Portfolio Management 34, no. 2 (February 13, 2020): 199–214. http://dx.doi.org/10.1007/s11408-020-00346-4.

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19

Iacus, Stefano M., Lorenzo Mercuri, and Edit Rroji. "Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation." Journal of Time Series Analysis 39, no. 5 (May 30, 2018): 787–809. http://dx.doi.org/10.1111/jtsa.12406.

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20

Romero, Oscar J. "CogArch-ADL: Toward a Formal Description of a Reference Architecture for the Common Model of Cognition." Procedia Computer Science 145 (2018): 788–96. http://dx.doi.org/10.1016/j.procs.2018.11.029.

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21

Yıldırım, Yavuz, and Gazanfer Ünal. "Volatility modeling with COGARCH(1,1) driven by Meixner-Lévy process: an application to Tokyo stock exchange market (Nikkei225)." International Journal of Dynamics and Control 6, no. 2 (September 20, 2017): 582–88. http://dx.doi.org/10.1007/s40435-017-0351-5.

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22

Muirí, Daithí Ó. "Cogadh." Comhar 59, no. 10 (1999): 25. http://dx.doi.org/10.2307/25573890.

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23

Neachtáin, Joe Steve Ó. "Gearrscéal: Sos Cogaidh." Comhar 57, no. 8 (1998): 12. http://dx.doi.org/10.2307/25573584.

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24

Broin, Brian Ó. "Cogadh na nadharcán." Comhar 50, no. 4 (1991): 37. http://dx.doi.org/10.2307/25571469.

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25

Muirí, Pól Ó., Jim Cusack, Henry McDonald, Jack Holland, and Susan Phoenix. "An cogadh rúnda." Comhar 56, no. 8 (1997): 24. http://dx.doi.org/10.2307/25573367.

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26

Lideadha, Fearghal Ó. "Éireannach i Sasana: Cuimhní Cogaidh." Comhar 44, no. 4 (1985): 17. http://dx.doi.org/10.2307/20555660.

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27

Lochlainn, Antain Mac. "Cogadh Domhanda na dTeangacha." Comhar 59, no. 11 (1999): 8. http://dx.doi.org/10.2307/25573902.

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28

hAnluain, Eoghan Ó., and Hugo Hamilton. "Léirmheas: Cogadh na Teanga." Comhar 63, no. 9 (2003): 20. http://dx.doi.org/10.2307/25574706.

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29

Cába, Anton Mac, and hAnton Mac Cába. "Amharc Aduaidh: Deireadh Cogaidh mar Chlaonadh." Comhar 65, no. 9 (2005): 7. http://dx.doi.org/10.2307/25575260.

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30

Catháin, Máirtín Ó. "An Ghaeltacht: Cogadh na nComharthaí." Comhar 65, no. 7 (2005): 26. http://dx.doi.org/10.2307/25575231.

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31

Gadhra, Nollaig Ó. "Cé Bhuaigh an Cogadh, a Dheaidí?" Comhar 44, no. 7 (1985): 18. http://dx.doi.org/10.2307/20555739.

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32

Conchúir, M. F. Ó. "An cogadh in aghaidh na critice." Comhar 53, no. 6 (1994): 10. http://dx.doi.org/10.2307/25572410.

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33

Dúill, Eoghan Ó. "An sos cogaidh: Cad a shíleann an pobal anois?" Comhar 53, no. 10 (1994): 17. http://dx.doi.org/10.2307/25572501.

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34

Síomóin, Tomás Mac. "An tuaisceart: An sos cogaidh: ar an dé deiridh?" Comhar 54, no. 2 (1995): 13. http://dx.doi.org/10.2307/25572580.

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35

BUTTIMER, CORNELIUS G. "COGADH SAGSANA NUADH SONN: Reporting the American Revolution." Studia Hibernica: Volume 28, Issue 1 28, no. 1 (January 1, 1994): 63–102. http://dx.doi.org/10.3828/sh.1994.28.3.

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36

Cheannain, Aine Ní, and Máire Ní Shúilleabháin. "An tAthair Caomhánach agus an Cogadh Creidimh i gConamara." Comhar 44, no. 1 (1985): 37. http://dx.doi.org/10.2307/20555600.

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37

Snodaigh, Pádraig Ó., and Proinsias Mac Aonghusa. ""Our Fenian Dead" Ros Muc agus Cogadh na Saoirse." Comhar 52, no. 1 (1993): 22. http://dx.doi.org/10.2307/25572009.

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38

Casey, Denis. "A reconsideration of the authorship and transmission of Cogadh Gáedhel re Gallaibh." Proceedings of the Royal Irish Academy: Archaeology, Culture, History, Literature 113C, no. 1 (2013): 139–61. http://dx.doi.org/10.1353/ria.2013.0011.

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39

Buttimer, Neil. "Review: Washington & Ceannas a Ríochta: Cogadh Mheiriceá i Litríocht Na Gaeilge." Irish Economic and Social History 33, no. 1 (September 2006): 138–40. http://dx.doi.org/10.1177/033248930603300144.

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40

Oliveira, Samuel Carlos da Rosa de, Leonardo Da Costa Bernardo, Thaise Sutil, and Teresinha Maria Gonçalves. "ESPAÇO, SUBJETIVIDADE E DESENRAIZAMENTO CULTURAL: UMA ANÁLISE DO PROCESSO DE APROPRIAÇÃO DO ESPAÇO DA CIDADE PELOS IMIGRANTES GANESES CHEGADOS A CRICIÚMA A PARTIR DE 2014." Tecnologia e Ambiente 23 (November 28, 2017): 16. http://dx.doi.org/10.18616/ta.v23i0.3908.

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Este artigo pretende analisar o processo de apropriação do espaço de imigrantes ganeses na cidade de Criciúma, SC. Insere-se no âmbito da Psicologia Ambiental – PA. O conceito de apropriação do espaço é uma das principais concepções da PA e refere-se à relação do indivíduo com o seu ambiente. O espaço apropriado reflete elementos da história pessoal e social do indivíduo e de sua subjetividade. Espaço e lugar são categorias teóricas trabalhadas, que servem como elementos de análise das entrevistas. O problema de pesquisa está assentado nos entraves que esses imigrantes têm que enfrentar para se apropriarem do espaço da cidade de Criciúma devido às dificuldades de assimilar uma nova cultura em virtude do recente desenraizamento cultural. O coletivo da pesquisa foi composto por cinco pessoas filiadas à Associação da Comunidade de Ganeses de Criciúma-SC (COGACRI). A pesquisa caracteriza-se como qualitativa, cujo método utilizado foi o estudo de caso e a técnica de coleta dos dados foi a observação sistemática, entrevista semiestruturada, com perguntas abertas e fechadas.Palavras-chave: subjetividade, apropriação do espaço, psicologia ambiental.

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41

Briche, Julien, Yves Lacroix, and Alejandro Maass. "Adaptation d'un algorithme génétique pour la reconstruction de réseaux de régulation génétique : COGARE." Revue d'intelligence artificielle 24, no. 1 (February 2010): 7–26. http://dx.doi.org/10.3166/ria.24.7-26.

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42

Yose, Joseph, Ralph Kenna, Máirín MacCarron, and Pádraig MacCarron. "Network analysis of the Viking Age in Ireland as portrayed in Cogadh Gaedhel re Gallaibh." Royal Society Open Science 5, no. 1 (January 2018): 171024. http://dx.doi.org/10.1098/rsos.171024.

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Cogadh Gaedhel re Gallaibh (‘The War of the Gaedhil with the Gaill’) is a medieval Irish text, telling how an army under the leadership of Brian Boru challenged Viking invaders and their allies in Ireland, culminating with the Battle of Clontarf in 1014. Brian’s victory is widely remembered for breaking Viking power in Ireland, although much modern scholarship disputes traditional perceptions. Instead of an international conflict between Irish and Viking, interpretations based on revisionist scholarship consider it a domestic feud or civil war. Counter-revisionists challenge this view and a long-standing and lively debate continues. Here, we introduce quantitative measures to the discussions. We present statistical analyses of network data embedded in the text to position its sets of interactions on a spectrum from the domestic to the international. This delivers a picture that lies between antipodal traditional and revisionist extremes; hostilities recorded in the text are mostly between Irish and Viking—but internal conflict forms a significant proportion of the negative interactions too.

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43

Casey, Denis. "A reconsideration of the authorship and transmission of Cogadh Gáedhel re Gallaibh." Proceedings of the Royal Irish Academy, Section C 113, no. -1 (January 1, 2013): 139–61. http://dx.doi.org/10.3318/priac.2013.113.03.

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44

Asbill, Kate, and Maria Luisa Gonzalez. "Invitational Leadership." Journal of Invitational Theory and Practice 7, no. 1 (February 24, 2022): 14–27. http://dx.doi.org/10.26522/jitp.v7i1.3841.

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The quality of adult relationships within a school has more to do withthe quality and character of the school and with the accomplishmentsof students than any other factor. (Barth, 1990, p.163)This study focused on invitational practices of principals and thecorrelation between a principal’s inviting behaviors and teachers’ perceptions.It was hypothesized that there was a positive correlation betweena principal’s actions and teacher affective outcomes such as feelingsof trust, respect, job satisfaction, and perceived principaleffectiveness. The principal-teacher relationship was studied in an effortto elucidate the importance of positive human interaction in educationalsettings.A thorough review of the literature on the subject of InvitationalEducation from 1970 through 1991 revealed that little had been writtenon the application of Invitational Theory to administrative practices.Although Purkey and Warters (1986), Common (1983, 1984, 1985),Chambers (1983), and Cogar (1987) addressed the subject and offeredsuggestions for the application of Invitational Theory to the administrationof schools, Invitational Leadership was not a primary focus of thefounders and followers of Invitational Education.

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45

Morton, Julia F. "Wildlife Food Plants: A Microscopic View.Elizabeth Lauten Green , Lytle H. Blankenship , Virginia F. Cogar , Terra McMahon." Quarterly Review of Biology 61, no. 3 (September 1986): 411. http://dx.doi.org/10.1086/415077.

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46

Moore, D. J., P. Bacci, F. Esteban, P. Lejeune, A. Saab, R. A. Scriven, and R. Steenkist. "Summary report of the corech (COGAR) workshop on the evaluation of air pollution episodes and associated control measures." Atmospheric Environment (1967) 20, no. 10 (January 1986): 2047–52. http://dx.doi.org/10.1016/0004-6981(86)90346-x.

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47

Takahashi, Tsutomu, Takuya Tajiri, and Yasuo Sonoi. "Charges on Graupel and Snow Crystals and the Electrical Structure of Winter Thunderstorms." Journal of the Atmospheric Sciences 56, no. 11 (June 1999): 1561–78. http://dx.doi.org/10.1175/1520-0469(1999)056<1561:cogasc>2.0.co;2.

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48

Bianchi, Francesco, and Lorenzo Mercuri. "Measuring Risk with COGARCH(p,q) Models." SSRN Electronic Journal, 2016. http://dx.doi.org/10.2139/ssrn.2852858.

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49

Stelzer, Robert, and Johanna Vestweber. "Geometric ergodicity of the multivariate COGARCH(1,1) process." Stochastics, November 19, 2020, 1–34. http://dx.doi.org/10.1080/17442508.2020.1844704.

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50

do Rêgo Sousa, Thiago, and Robert Stelzer. "Moment‐based estimation for the multivariate COGARCH(1,1) process." Scandinavian Journal of Statistics, May 27, 2021. http://dx.doi.org/10.1111/sjos.12531.

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