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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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基于高频数据的非平稳garch11模型的拟极大指数似然估计
期刊论文
中国科学数学, 2018, 卷号: 048, 期号: 003, 页码: 443
Authors:
吴思鑫
;
冯牧
;
张虎
;
陈敏
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View/Download：26/0
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Submit date：2020/01/10
GARCH模型两步厚尾估计的诊断检验
期刊论文
应用数学学报, 2018, 卷号: 041, 期号: 001, 页码: 55
Authors:
冯牧
;
王萌
;
龚朝庭
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View/Download：14/0
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Submit date：2020/01/10
基于高频数据的非平稳GARCH(1,1)模型的拟极大指数似然估计
期刊论文
中国科学:数学, 2018, 卷号: 48.0, 期号: 003, 页码: 443-456
Authors:
吴思鑫
;
冯牧
;
张虎
;
陈敏
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View/Download：0/0
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Submit date：2021/01/14
高频数据
非平稳
GARCH模型
拟极大指数似然估计
VaR
基于周期garch过程var的分位回归估计
期刊论文
系统科学与数学, 2017, 卷号: 37, 期号: 1, 页码: 253
Authors:
赵彪
;
赵子龙
;
冯牧
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View/Download：2/0
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Submit date：2020/01/10
