Constrained Nonlinear Programming for Volatility Estimation with GARCH Models.

Aslihan Altay-Salih Mustafa Ç. Pinar Sven Leyffer

Published in: SIAM Rev. (2003)

Keyphrases

garch model
nonlinear programming
stock market
linear programming
variational inequalities
optimization problems
linear constraints
sar images
multivariate time series
heavy tailed
long term
semidefinite programming
parameter estimation
exact algorithms