Results 121 to 130 of about 747,562 (306)
Forecasting Value-at-Risk Using the Markov-Switching ARCH Model [PDF]
This paper analyzes the application of the Markov-switching ARCH model (Hamilton and Susmel, 1994) in improving value-at-risk (VaR) forecast. By considering a mixture of normal distributions with varying variances over different time and regimes, we find
Wei-Ting Tang, Yin-Feng Gau
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Advanced Functional Materials, EarlyView.Fe and P co‐doped Co9S8 nanocorals (Fe, P‐Co9S8) are successfully synthesized by a heteroatom engineering strategy, which exhibit outstanding bifunctional electrocatalytic performance for both the hydrogen evolution reaction (HER) and hydrazine oxidation reaction (HzOR).
Yuying Meng +8 more
wiley +1 more source
Pseudo-Maximum Likelihood Estimation of ARCH(8) Models [PDF]
Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare established.
Paolo Zaffaroni, Peter M Robinson
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Advanced Functional Materials, EarlyView.This study presents a versatile approach to harnessing miscible aqueous domains, enabling liquid‐in‐liquid compartmentalization using a barrier formed in situ rather than bulk immiscibility. The barrier forms upon the complexation of multifunctional nanoparticles and ligands at the contact boundary of aqueous phases.
Seyyed Alireza Hashemi +7 more
wiley +1 more source
Measuring and Testing the Impact of News on Volatility [PDF]
This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A variety of new and existing ARCH models are compared and estimated with daily Japanese stock return data to determine the shape of the
Robert F. Engle, Victor K. Ng
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Advanced Functional Materials, EarlyView.Permanent magnets derive their extraordinary strength from deep, universal electronic‐structure principles that control magnetization, anisotropy, and intrinsic performance. This work uncovers those governing rules, examines modern modeling and AI‐driven discovery methods, identifies critical bottlenecks, and reveals electronic fingerprints shared ...
Prashant Singh
wiley +1 more source
Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes [PDF]
Nonlinear Processes in Geophysics, 2005 Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average ...
W. Wang +4 more
doaj
Advanced Functional Materials, EarlyView.MAGTWIST: A compact magnetic rotary actuator, enabling smooth, stepless rotation, and on‐demand locking. Inspired by peristalsis, a soft polymer belt generates a traveling‐wave, enabling 270° rotation when heated. Cooling stiffens the belt, locking it in position and enabling it to withstand high loads.
Simon Frieler +3 more
wiley +1 more source
LARCH, Leverage and Long Memory [PDF]
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable ...
Donatas Surgailis +3 more
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The Stochastic Volatility in Mean Model [PDF]
, 2000 In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods.
Koopman, Siem Jan, Uspensky, Eugenie Hol
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