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
doaj
Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form [PDF]
The specification of Smooth Transition Regression models consists of a sequence of tests, which are typically based on the assumption of i.i.d. errors. In this paper we examine the impact of conditional heteroskedasticity and investigate the performance ...
D Peel, E Pavlidis, I Paya
core +1 more source
VOLATILITY PERSISTENCE AND ASYMMETRIC SHOCKS IN THE NIGERIAN STOCK MARKET INDEX [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria EconomieThis study examines the dynamic volatility of the Nigerian Stock Exchange All-Share Index (NGSEINDEX) daily log returns from October 28, 2015, to October 28, 2025, to provide a statistically sound basis for risk assessment in this critical emerging ...
AMAN SHREEVASTAVA +8 more
doaj
Volatility persistence and time-varying betas in the UK real estate market [PDF]
, 2002 This paper investigates the degree of return volatility persistence and the time-varying behaviour of systematic risk (beta) for 31 market segments in the UK real estate market.
Lee, Stephen
core
News Media as a Channel of Environmental Information Disclosure: Evidence from an EGARCH Approach [PDF]
This paper incorporates EGARCH modeling in a financial event study relating firm value to negative environmental news. News media provide informal information channels unlike formal government disclosure programs.
David I. Stern +2 more
core
The Nobel Memorial Prize for Robert F. Engle [PDF]
I review and interpret two of Robert Engle's most important contributions: the theory and application of cointegration, and the theory and application of dynamic volatility models.
Francis X. Diebold
core
Adaptive Estimation of Autoregressive Models with Time-Varying Variances [PDF]
Stable autoregressive models of known finite order are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity.
Ke-Li Xu, Peter C.B. Phillips
core
On the inconsistency of the MLE in certain heteroskedastic regression models [PDF]
This paper studies the possibility of inconsistency of the maximum likelihood estimators for certain heteroskedastic regression models. These include the Poisson regression model and the ARCH models.
Adrián R. Pagan, Hernán Sabau
core
Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets [PDF]
Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish.
Buguk, Cumhur +2 more
core +1 more source
Bayesian estimation in generalized autoregressive conditional heteroskedasticity models [PDF]
, 2016 Esta tesis doctoral nace con el propósito de entender, analizar y sobre todo modelizar el comportamiento estadístico de las series financieras. En este sentido, se puede afirmar que los modelos que mejor recogen las especiales características de estas series son los modelos de heterocedasticidad condicionada en tiempo discreto,si los intervalos de ...
openaire +1 more source