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Articles de revues sur le sujet « COGARCH »

Auteur : Grafiati

Publié le 9 mars 2023

Mis à jour le 31 juillet 2025

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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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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 (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 (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 (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 (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 (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 (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 (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 (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 (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 (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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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 (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 s

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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 (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 s

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16

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

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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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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 (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 (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 (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 (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 (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 (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 s

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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 (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 (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 lo

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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 (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 (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

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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 (1986): 411. http://dx.doi.org/10.1086/415077.

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46

Moore, D. J., P. Bacci, F. Esteban, et al. "Summary report of the corech (COGAR) workshop on the evaluation of air pollution episodes and associated control measures." Atmospheric Environment (1967) 20, no. 10 (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 (1999): 1561–78. http://dx.doi.org/10.1175/1520-0469(1999)056<1561:cogasc>2.0.co;2.

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48

Behme, Anita. "Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches." Finance and Stochastics, June 16, 2025. https://doi.org/10.1007/s00780-025-00567-3.

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Abstract We introduce generalisations of the COGARCH model of Klüppelberg et al. (J. Appl. Probab. 41:601–622 2004) and of the volatility and price model of Barndorff-Nielsen and Shephard (J. R. Stat. Soc., Ser. B Stat. Methodol. 63:167–241 2001) to a Markov-switching environment. These generalisations incorporate exogenous jumps of the volatility at the times of a regime switch. Both models are studied within the framework of Markov-modulated generalised Ornstein–Uhlenbeck processes which allows deriving conditions for stationarity, formulas for moments as well as the autocovariance structure

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49

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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50

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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