Results 91 to 100 of about 1,495 (237)
MathematicsThis paper develops a framework for quantifying risk by integrating analytical derivations of Value at Risk (VaR) and Conditional VaR (CVaR) under the chi-squared distribution with empirical modeling via Generalized Autoregressive Conditional ...
Fazlollah Soleymani, Qiang Ma, Tao Liu
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MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS [PDF]
Annals of the University of Oradea: Economic Science, 2011 In this paper we analyze the return of exchange rate in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the exchange rate return in order to obtain the best models
Cociuba Mihail Ioan, Trenca Ioan
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Asymmetry and Leverage in Conditional Volatility Models
Econometrics, 2014 The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle ...
Michael McAleer
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Scottish Journal of Political Economy, Volume 73, Issue 1, February 2026.ABSTRACT We study the nexus between political geography and stock market volatility by examining the interrelation between political geography and the predictive relation between the state‐ and aggregate‐level stock market volatility via recently constructed measures of political alignment.
Oguzhan Cepni +3 more
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Economies, 2018 This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic ...
Lorna Katusiime
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The Effects of Uncertainty on Economic Conditions Across US States: The Role of Climate Risks
Scottish Journal of Political Economy, Volume 73, Issue 1, February 2026.ABSTRACT We analyze the impact of uncertainty on the Economic Conditions Index (ECI) of the 50 US states in a panel data set‐up, over the weekly period of the 3rd week of April 1987 to the 4th week of March 2023. Using impulse response functions (IRFs) from a linear local projections (LP) model, we show that uncertainty, as captured by the stochastic ...
Xin Sheng +3 more
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, 1995 In this dissertation, three essays are presented that apply recent advances in time-series methods to the analysis of inflation and stock market index data for Taiwan. Specifically, ARCH and GARCH methodologies are used to investigate claims of increased volatility in economic time-series data since 1980.
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DEoptim: An R Package for Global Optimization by Differential Evolution
Journal of Statistical Software, 2011 This article describes the R package DEoptim, which implements the differential evolution algorithm for global optimization of a real-valued function of a real-valued parameter vector.
Katharine M. Mullen +4 more
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