Results 131 to 140 of about 27,670 (236)

A Note on the Oil Price Trend and GARCH Shocks [PDF]

This paper investigates the trend in the monthly real price of oil between 1990 and 2008 with a generalized autoregressive conditional heteroskedasticity (GARCH) model.
Jing, Li, Thompson, Henry
core   +1 more source

Testing for linearity [PDF]

linearitytesting
Hansen,B.E.
core  

Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks. [PDF]

Front Artif Intell
Al-Besher S, Al-Najjar D.
europepmc   +1 more source

Spatio-Temporal Generalized Autoregressive Conditional Heteroskedasticity Models

, 2016
This thesis presents a spatio-temporal extension of the GARCH process with a specific spatial dependence structure. Different simulation and estimation techniques are developed. Assuming a circular spatial structure at each time point, gives a closed and finite set of variables at each point in time, making the spatio-temporal process adapted in the ...
openaire   +1 more source

Enhancing Prediction by Incorporating Entropy Loss in Volatility Forecasting. [PDF]

Entropy (Basel)
Urniezius R, Petrauskas R, Vaitkus V, Karimov J, Brazauskas K, Repsyte J, Kacerauskiene E, Harms T, Dargiene J, Ezerskis D.   +9 more
europepmc   +1 more source

Modeling Market Volatility in Emerging Markets: The case of Daily Data in Amman Stock Exchange 1992-2004 [PDF]

This paper attempts to investigate the volatility of the Jordanian emerging stock market using daily observations from Amman Stock Exchange Composite Index (ASE) for the period from January 1, 1992 through December 31, 2004.
AL-KHOURI, Ritab, ROUSAN, Raya
core  

AI-Carbon-Energy: Spillover effects and drivers in interconnected markets. [PDF]

iScience
Zhang M, Pan Y, Su B, Zhou D.
europepmc   +1 more source

Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]

PLoS One
Zeng J, Wu J.
europepmc   +1 more source

A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors, [PDF]

This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and ...
Michael McAleer, Shiqing Ling, W. K. Li
core  

Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]

Entropy (Basel)
Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
europepmc   +1 more source