Charles Cao
Biographic Data
| ID | 9107563 |
|---|---|
| NAME | Charles Cao |
| GIVEN NAMES | Charles |
| FAMILY NAME | Cao |
| SIGNATURE | CAO C |
| AFFILIATIONS | University of Chicago |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 1992 |
| H-INDEX | 0 |
Inequality Constraints in the Univariate GARCH Model
To keep the conditional variances generated by the GARCH (p, q) model nonnegative, Bollerslev imposed nonnegativity constraints on the parameters of the process. We show that these constraints can be substantially weakened and so should not be imposed in estimation. We also provide empirical examples illustrating the importance of relaxing these constraints
No prominent works on this page.
Inequality Constraints in the Univariate GARCH Model
To keep the conditional variances generated by the GARCH (p, q) model nonnegative, Bollerslev imposed nonnegativity constraints on the parameters of the process. We show that these constraints can be substantially weakened and so should not be imposed in estimation. We also provide empirical examples illustrating the importance of relaxing these constraints
Applied Mathematics (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Econometrics (1 work) · Economics (1 work) · Estimation (1 work) · Financial Risk and Volatility Modeling (1 work) · Inequality (1 work) · Market Dynamics and Volatility (1 work) · Mathematical optimization (1 work) · Mathematics (1 work)