The Relationship between Exchange Rate and Inflation: An Empirical Study of Turkey
International Journal of Economics and Financial Issues, 2016 This paper investigates the relationship between inflation and exchange rate in Turkey. Unlike many empirical studies which make use of the US and Turkey inflation data to test the relationship between inflation and exchange rate in Turkey, this paper ...
Abderezak Ali Abdurehman +1 more
doaj
Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. [PDF]
F1000Res, 2022 Ali F, Suri P, Kaur T, Bisht D.
europepmc +1 more source
Wavelets in the Analysis of Autoregressive Conditional Heteroskedasticity (ARCH) Models Using Neural Network [PDF]
, 2016 Ataulla Nihal Zaidi
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Evidence for Autoregressive Conditional Heteroskedastic errors in growth traits of beef cattle [PDF]
, 2007 R. J. C. Cantet +4 more
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Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference [PDF]
arXivWe consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set of conditions under which the matrix containing ...
arxiv
A heteroskedastic error covariance matrix estimator using a first-order conditional autoregressive Markov simulation for deriving asympotical efficient estimates from ecological sampled Anopheles arabiensis aquatic habitat covariates [PDF]
, 2009 Benjamin G. Jacob +5 more
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Nonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows [PDF]
, 2022 Luke De Clerk, Sergey Savel’ev
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BAYESIAN ANALYSIS OF GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY AND STOCHASTIC VOLATILITY: MODELING LEVERAGE, JUMPS AND HEAVY-TAILS FOR FINANCIAL TIME SERIES* [PDF]
, 2011 Jouchi Nakajima
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Bayesian estimation for novel geometric INGARCH model [PDF]
arXivThis paper introduces an integer-valued generalized autoregressive conditional heteroskedasticity (INGARCH) model based on the novel geometric distribution and discusses some of its properties. The parameter estimation problem of the models are studied by conditional maximum likelihood and Bayesian approach using Hamiltonian Monte Carlo (HMC) algorithm.
arxiv