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
Last updated: 31 July 2025

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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 (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 (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 (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 (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 (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 (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 (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 (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 (2010): 231–46. http://dx.doi.org/10.1002/wilj.34.

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Dissertations / Theses on the topic "COGARCH"

1

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<br>Wir haben gezeigt, dass jeder (nette) Feller Prozess ein I
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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.<br>Wir haben gezeigt, dass jeder (nette) Feller Prozess ein
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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 révèl
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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
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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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Confhaola, Colm Mac. Cogadh 'gus cathú. Coiscéim, 2002.

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2

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. An Gúm, 2002.

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Aonghusa, Proinsias Mac. Ros Muc agus Cogadh na Saoirse. Conradh na Gaeilge, 1992.

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

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

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

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Morley, Vincent. Washington i gceannas a ríochta: Cogadh Mheiriceá i litríocht na Gaeilge. Coiscéim, 2005.

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Titley, Alan. An Cogadh in aghaidh na critice: An teannas idir litríocht agus teoiric. Fortnight Publications, 1998.

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Denmark) International Workshop on Cognitive Radio and Advanced Spectrum Management (2nd 2009 Ålborg. 2009 Second International Workshop on Cognitive Radio and Advanced Spectrum Management (CogART 2009): Aalborg, Denmark, 18-20 May 2009. IEEE, 2009.

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Proinsias, Mac a' Bhaird, ed. Cogar san fharraige: Scéim na scol in Arainn Mhór, 1937-1938 / [collected by] Proinsias Mac a' Bhaird. Coiscéim, 2002.

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Book chapters on the topic "COGARCH"

1

Iacus, Stefano M., and Nakahiro Yoshida. "COGARCH Models." In Use R! 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. 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. 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). 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. 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. 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
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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. WORLD SCIENTIFIC, 2013. http://dx.doi.org/10.1142/9789814440134_0015.

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Samsonovich Alexei V. "Toward a Unified Catalog of Implemented Cognitive Architectures." In Frontiers in Artificial Intelligence and Applications. IOS Press, 2010. https://doi.org/10.3233/978-1-60750-661-4-195.

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This work is a review of the online Comparative Table of Cognitive Architectures (the version that was available at http://bicasymposium.com/cogarch on September 20, 2010). This continuously updated online resource is a collective product of many researchers and developers of cognitive architectures. Names of its contributors (sorted alphabetically by the represented architecture name) are: James S. Albus (4D/RCS), Christian Lebiere and Andrea Stocco (ACT-R), Stephen Grossberg (ART), Brandon Rohrer (BECCA), Balakrishnan Chandrasekaran and Unmesh Kurup (biSoar), Raul Arrabales (CERA-CRANIUM), F
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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"

1

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

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