Results 41 to 50 of about 7,382 (224)
MEDIA STATISTIKA, 2021 Currently the emergence of the novel coronavirus (Sars-Cov-2), which causes the COVID-19 pandemic and has become a serious health problem because of the high risk causes of death.
Puspita Kartikasari +2 more
semanticscholar +1 more source
İKİLİ UZUN HAFIZADA ASİMETRİ ETKİSİ: BİST BANKA ÖRNEĞİ
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2019 Çalışmanın amacı, Türk bankacılık sektör endeksiningetiri ve volatilitesinde ikili uzun hafıza özelliğini ARFIMA-FIGARCH veARFIMA-FIEGARCH modeli ile inceleyerek etkin piyasalar hipotezini testetmektir. Bu amaçla modelde veri seti olarak 2008-2017 dönemi
Harun Kaya, İsmail Çelik
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Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
IIMB Management Review, 2017 This paper uses the opening, high, low, and closing prices of five energy futures to estimate and model volatility based on the unbiased extreme value volatility estimator (the Add RS estimator).
Dilip Kumar
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Geometric shrinkage priors for K\"ahlerian signal filters
, 2015 We construct geometric shrinkage priors for K\"ahlerian signal filters. Based on the characteristics of K\"ahler manifolds, an efficient and robust algorithm for finding superharmonic priors which outperform the Jeffreys prior is introduced. Several ans\"
Choi, Jaehyung, Mullhaupt, Andrew P.
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Annales Mathematicae Silesianae, 2018 In this survey paper we present a systematic methodology of how to identify origins of fractional dynamics. We consider three models leading to it, namely fractional Brownian motion (FBM), fractional Lévy stable motion (FLSM) and autoregressive ...
Weron Aleksander
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Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes
, 2007 We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals ...
Alfonso Lam Ng +30 more
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Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility [PDF]
, 2013 This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility.
Barunik, Jozef, Zikes, Filip
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Time Series Modeling of Guinea Fowls Production in Kenya Using the ARIMA and ARFIMA Models
, 2021 Commercial farming of Guinea Fowls is at its infant stages and is generating a lot of interest for farmers in Kenya. This, coupled with an increased demand for poultry products in the Kenyan market in the recent past, calls for the rearing of the guinea ...
Cecilia Mbithe Titus +2 more
semanticscholar +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio.
Xinran Huang +3 more
wiley +1 more source
Jurnal LebesgueIndonesia, a nation in Southeast Asia, has a wealth of natural resources that could serve as the basis for future economic growth. Increased exports of natural resources are crucial for market expansion, job creation, foreign exchange gains, and economic
Putri Hazizah Rahwani +2 more
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