Results 101 to 110 of about 291,653 (252)
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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The Turn-of-The-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model [PDF]
, 2014 Eleftherıos Gıovanıs
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Human Capital, Income Inequality, and Health: Analysing Heterogeneous Dynamics Across Income Groups
Asia &the Pacific Policy Studies, Volume 12, Issue 2, May 2025.ABSTRACT This paper examines the impact of human capital, gender inequality, and GDP on income inequality across seven regions with different income levels. Utilising panel data from 125 countries from 2000 to 2018, the study employs methods such as Panel Spatial Correlation Consistent dummy variables (PSCC) and panel quantile regression.
Wendy Irena Guerra Castillo +2 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.
openaire +4 more sources
Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations [PDF]
arXiv, 2019 There has been considerable advance in understanding the properties of sparse regularization procedures in high-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study oracle properties of LASSO estimation of weakly sparse vector-autoregressive models with heavy tailed, weakly ...
arxiv
Micromachines, 2015 A signal processing technique is presented to improve the angular rate accuracy of Micro-Electro-Mechanical System (MEMS) gyroscope by combining numerous gyroscopes.
Jieyu Liu, Qiang Shen, Weiwei Qin
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Appraising Model Complexity in Option Pricing
Journal of Futures Markets, Volume 45, Issue 5, Page 455-472, May 2025.ABSTRACT The research question we consider is whether incremental complexity in option pricing models is justified by incremental model performance. We apply the model confidence set as a formal model comparison approach in appraising stochastic volatility jump‐diffusion option pricing models, spanning affine and nonaffine specifications.
Mark Cummins, Francesco Esposito
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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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Improved estimation of dynamic models of conditional means and variances
Journal of Time Series Analysis, Volume 46, Issue 3, Page 458-490, May 2025.Using ‘working’ assumptions on conditional third and fourth moments of errors, we propose a method of moments estimator that can have improved efficiency over the popular Gaussian quasi‐maximum likelihood estimator (GQMLE). Higher‐order moment assumptions are not needed for consistency – we only require the first two conditional moments to be correctly
Weining Wang +2 more
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Magnitude Effect and Asymmetry Effect in Stock Return Volatility (Written in Korean)
KDI Journal of Economic Policy, 1993 주식수익률의 조건부분산의 움직임을 모형화하기 위하여 Engle(1982)의 ARCH(Autoregressive Conditional Heteroskedasticity)모형을 효시로 많은 종류의 모형이 제시되어 왔다. 이 가운데서 Nelson(1991)의 EGARCH(Exponential Generalized ARCH)는 종래의 모형에 비하여 여러 가지 장점을 지니고 있는 모형이다.
고, 영선
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