Results 11 to 20 of about 10,989,864 (91)
Modeling Markov switching ARMA-GARCH neural networks models and an application to forecasting stock returns. [PDF]
ScientificWorldJournal, 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS‐GARCH processes. The second purpose of the study is to augment the MS‐GARCH type models with artificial neural networks to benefit from the universal approximation properties to achieve ...
Bildirici M, Ersin Ö.
europepmc +2 more sources
Direct versus iterated multiperiod Value‐at‐Risk forecasts
Journal of Economic Surveys, Volume 37, Issue 3, Page 915-949, July 2023., 2023 Abstract Since the late nineties, the Basel Accords require financial institutions to measure their financial risk by reporting daily predictions of Value at Risk (VaR) based on 10‐day returns. However, a vast part of the related literature deals with VaR predictions based on one‐period returns.
Esther Ruiz, María Rosa Nieto
wiley +1 more source
Volatility and dynamic dependence modeling: Review, applications, and financial risk management
WIREs Computational Statistics, Volume 14, Issue 5, September/October 2022., 2022 Moving 20‐day window dynamic risks of Alphabet Inc. (GOOGL), the Bank of America Corporation (BAC), and the Coca‐Cola Company (KO) during 26 December 2017 to 31 December 2020. Abstract Since the introduction of ARCH models close to 40 years ago, a wide range of models for volatility estimation and prediction have been developed and integrated into ...
Mike K. P. So +3 more
wiley +1 more source
Estimating the volatility of asset pricing factors
Journal of Forecasting, Volume 40, Issue 2, Page 269-278, March 2021., 2021 Abstract Models based on factors such as size or value are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid assets, this measure is difficult to obtain for asset pricing factors such as size and value ...
Janis Becker, Christian Leschinski
wiley +1 more source
Do Scarce Precious Metals Equate to Safe Harbor Investments? The Case of Platinum and Palladium
Economics Research International, Volume 2016, Issue 1, 2016., 2016 This research establishes the predictability and safe harbor properties of two scarce precious metals, namely, platinum and palladium. Utilizing their spot prices, the study concludes intermediate memory in the return structures of both precious metals, which implies the instability of platinum and palladium returns’ persistency in the long run ...
John Francis T. Diaz, Jean Paul Chavas
wiley +1 more source
Mathematical Problems in Engineering, Volume 2015, Issue 1, 2015., 2015 The establishment of electrical power system cannot only benefit the reasonable distribution and management in energy resources, but also satisfy the increasing demand for electricity. The electrical power system construction is often a pivotal part in the national and regional economic development plan.
Ping Jiang +3 more
wiley +1 more source
Testing for long memory in ISE using Arfima-Figarch model and structural break test [PDF]
, 2009 This study examines long memory in Istanbul Stock Exchange (ISE) by using the structural break test in variance and ARFIMA-FIGARCH model. Our findings indicate that long memory does not exist in the equity return; however, it exits in volatility ...
Cevik, Emrah Ismail +2 more
core +3 more sources
International Scholarly Research Notices, Volume 2014, Issue 1, 2014., 2014 The mass and energy‐capital conservation equations are employed to study the time evolution of mass and price of nonrenewable energy resources, extracted and sold to the market, in case of no‐accumulation and no‐depletion, that is, when the resources are extracted and sold to the market at the same mass flow rate.
Fabio Gori, K. Abhary, Y. Demirel
wiley +1 more source
Commonality in the LME aluminium and copper volatility processes through a Figarch lens [PDF]
, 2007 We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME).
Figuerola-Ferretti, Isabel +1 more
core +1 more source
Long memory behavior in the returns of Pakistan stock market: Arfima-Figarch models [PDF]
, 2014 This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution ...
Turkyilmaz, Serpil, Balibey, Mesut
core +1 more source