Results 21 to 30 of about 229 (64)

Continuous invertibility and stable QML estimation of the EGARCH(1,1) model [PDF]

, 2012
We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the Quasi Maximum Likelihood Estimator (QMLE) when the optimization procedure ...
Wintenberger, Olivier
core   +5 more sources

A Bayesian Networks Approach to Operational Risk

, 2010
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using only internal loss data, and takes into account in a ...
Aquaro, V., Bardoscia, M., Bellotti, R., Consiglio, A., De Carlo, F., Ferri, G.   +5 more
core   +1 more source

Price dynamics and trading volume: A semiparametric approach [PDF]

, 2003
In this paper we investigate the relation between price impact and trading volume for a sample of stocks listed on the New York Stock Exchange. The parametric VAR-models that have been used in the literature impose strong proportionality and symmetry ...
Nijman, T.E., Soest, A.H.O. van, Spierdijk, L.   +2 more
core   +3 more sources

Social Media Impact on the ‘Cosmos’ Blockchain Ecosystem: State and Prospect

Data Science Journal
The proliferation of blockchain technology heralds transformative impacts across various sectors, offering decentralization, transparency, and enhanced security.
Ivan Pavlyshyn, Anna Petrenko, Bohdan Opryshko, Bohdan Oliinyk, Sergii Kavun   +4 more
doaj   +1 more source

Near-integrated GARCH sequences

, 2005
Motivated by regularities observed in time series of returns on speculative assets, we develop an asymptotic theory of GARCH(1,1) processes {y_k} defined by the equations y_k=\sigma_k\epsilon_k, \sigma_k^2=\omega +\alpha y_{k-1}^2+\beta \sigma_{k-1}^2 ...
Berkes, Istvan, Horvath, Lajos, Kokoszka, Piotr   +2 more
core   +1 more source

Forecasting electronic money trends in Indonesia using neural network models: A comparative analysis

Majalah Ilmiah Matematika dan Statistika
Forecasting electronic money transaction values is essential for effective financial planning and decision-making in various industries. This study evaluates the performance of three neural network models, which are Extreme Learning Machines (ELM ...
Umi Mahmudah, Selvalentina Rista Anggita, Nirma Ayu Suryaningtyas   +2 more
doaj   +1 more source

Extremal behavior of stochastic volatility models [PDF]

, 2005
Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Fasen, V., Klüppelberg, Claudia, Lindner, A.   +2 more
core   +2 more sources

A Continuous Time GARCH Process of Higher Order [PDF]

, 2005
A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process. It extends many of the features of discrete time GARCH(p,q) processes to a continuous time setting.
Brockwell, Peter J., Chadraa, Erdenebaatar, Lindner, Alexander M.   +2 more
core   +2 more sources

Asymptotic equivalence for inference on the volatility from noisy observations

, 2011
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise.
Reiß, Markus
core   +1 more source

Modelling stock returns with AR-GARCH processes [PDF]

, 2004
Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes.
Ferenstein, Elzbieta, Gasowski, Miroslaw
core   +2 more sources