Formation of an integrated stock price forecast model in Lithuania [PDF]
, 2016 Technical and fundamental analyses are widely used to forecast stock prices due to lack of knowledge of other modern models and methods such as Residual Income Model, ANN-APGARCH, Support Vector Machine, Probabilistic Neural Network and Genetic Fuzzy ...
Dzikevičius, Audrius +1 more
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Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models
مجله اقتصاد و توسعه کشاورزی, 2016 Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major
Z. Rasouli Birami +3 more
doaj
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold [PDF]
This paper addresses two questions. First, we investigate whether gold is a hedge against stocks and/or bonds and second, we investigate whether gold is a safe haven for investors if either stocks or bonds fall. A safe haven is defined as a security that
Brian M. Lucey, Dirk G. Baur
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Markov Switching Artificial Neural Networks for Modelling and Forecasting Volatility: An Application to Gold Market [PDF]
, 2015 The study analyses the family of regime switching GARCH neural network models, which allow the generalization of MS type RS-GARCH models to MS-GARCH-NN models by incorporating with neural network architectures. Proposed models differ in terms of both the
Bildirici, Melike Elif +2 more
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THE RELATIONSHIP BETWEEN IN FINANCIAL MARKETS: A RESEARCH ON TURKISH FOOTBALL
, 2021 The purpose of this paper is to analyze the relationship between risk and stock return on the basis of Turkish football teams traded in financial markets. The study consists of two stages. In the first stage, the most suitable GARCH models for the return
Koc, Pinar
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A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches. [PDF]
Comput Econ, 2022 Aminimehr A +3 more
europepmc +1 more source
Credit default swaps (CDS) premiums and stock returns relations: An econometric analysis on Turkish financial markets [PDF]
, 2017 Ekonomik sınırların yavaş yavaş ortadan kalkması ve küresel yatırımcı denilen yeni bir yatırımcı türünün ortaya çıkması yatırım yapılacak bir ülkenin ekonomisinin durumu hakkında hızlı bir şekilde bilgi sahibi olma ihtiyacına neden olmuştur.
Çakıl, Ahmet
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The prediction of fluctuation in the order-driven financial market. [PDF]
PLoS One, 2021 Shi F +5 more
europepmc +1 more source
, 2017 This paper evaluated the different Fractionally Integrated-GARCH Models (FIGARCH BBM's, FIGARCH Chung, FIEGARCH, FIAPARCH BBM's, FIAPARCH Chung, and HYGARCH). This is the first research to use six different Fractionally Integrated-GARCH Models.
Heitham Al-Hajieh
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, 2011 本文以不對稱GARCH與不對稱冪級數GARCH兩模型，分析比較新台幣兌換美元匯率、黃金現貨、西德州中級原油現貨與道瓊工業股價指數等四種不同資產報酬率資料之樣本外預測能力。實證結果發現APGARCH確與AGARCH模型有顯著差異，且APGARCH模型對於樣本外之預測能力上也較為準確，證明冪級數條件是影響報酬率波動敏感性不可忽視的重要因素。而在市場不穩定或面臨國際重大事件時，AGARCH模型均會產生估計誤差，包含1991年海灣戰爭、1997年底亞洲金融風暴及1999年9月金價不穩定時 ...
鄭婉秀; 鄒易凭; 胡緒寧
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