[Une nouvelle formulation non linéaire pour des modèles GARCH]
Dans cette note, on déduit une nouvelle représentation mathématique, basée sur une formulation espace–état en temps discret non linéaire, pour caractériser le modèle GARCH. Lʼobjectif poursuivi dans ce travail est dʼutiliser les modèles présentés ici afin de développer des techniques dʼestimation qui soient aussi valables dans des situations où des données sont manquantes.
In this note we deduce a new mathematical representation, based on a discrete-time nonlinear state–space formulation, to characterize Generalized AutoRegresive Conditional Heteroskedasticity (GARCH) models. The purpose pursued by this article is to use the models presented herein to develop estimation techniques which are also valid in the situation when observations are missing.
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@article{CRMATH_2013__351_5-6_235_0,
author = {Ossand\'on, Sebastian and Bahamonde, Natalia},
title = {A new nonlinear formulation for {GARCH} models},
journal = {Comptes Rendus. Math\'ematique},
pages = {235--239},
publisher = {Elsevier},
volume = {351},
number = {5-6},
year = {2013},
doi = {10.1016/j.crma.2013.02.014},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2013.02.014/}
}
TY - JOUR AU - Ossandón, Sebastian AU - Bahamonde, Natalia TI - A new nonlinear formulation for GARCH models JO - Comptes Rendus. Mathématique PY - 2013 SP - 235 EP - 239 VL - 351 IS - 5-6 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2013.02.014/ DO - 10.1016/j.crma.2013.02.014 LA - en ID - CRMATH_2013__351_5-6_235_0 ER -
%0 Journal Article %A Ossandón, Sebastian %A Bahamonde, Natalia %T A new nonlinear formulation for GARCH models %J Comptes Rendus. Mathématique %D 2013 %P 235-239 %V 351 %N 5-6 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2013.02.014/ %R 10.1016/j.crma.2013.02.014 %G en %F CRMATH_2013__351_5-6_235_0
Ossandón, Sebastian; Bahamonde, Natalia. A new nonlinear formulation for GARCH models. Comptes Rendus. Mathématique, Tome 351 (2013) no. 5-6, pp. 235-239. doi : 10.1016/j.crma.2013.02.014. http://www.numdam.org/articles/10.1016/j.crma.2013.02.014/
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