Calibration of GARCH models using concurrent accelerated random search.

Juliane Müller Juho Kanniainen Robert Piché

Published in: Appl. Math. Comput. (2013)

Keyphrases

random search
garch model
simulated annealing
stock market
search space
parameter optimization
genetic algorithm
multivariate time series
sar images
neural network
computer vision
optimal solution
high dimensional
model selection