Results 131 to 140 of about 291,653 (252)

CAESar: Conditional Autoregressive Expected Shortfall [PDF]

arXiv
In financial risk management, Value at Risk (VaR) is widely used to estimate potential portfolio losses. VaR's limitation is its inability to account for the magnitude of losses beyond a certain threshold. Expected Shortfall (ES) addresses this by providing the conditional expectation of such exceedances, offering a more comprehensive measure of tail ...
arxiv  

Factors Contributing to the Pre-Elimination of Malaria from Hainan Island, China, 1986-2009. [PDF]

Am J Trop Med Hyg, 2023
Sun D, Jiang H, Wang G, Hu X, Wang S, Chen Y.   +5 more
europepmc   +1 more source

Selecting between autoregressive conditional heteroskedasticity models: An empirical application to the volatility of stock returns in Peru [PDF]

, 2017
Gabriel Rodrı́guez
openalex   +1 more source

Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand’s Transportation Sector during COVID-19 [PDF]

Danai Likitratcharoen, Lucksuda Suwannamalik   +1 more
openalex   +1 more source

Spatial Autoregressive Conditional Heteroskedasticity Models

JOURNAL OF THE JAPAN STATISTICAL SOCIETY, 2017
Takaki Sato, Yasumasa Matsuda
openaire   +3 more sources

Interval Forecasts for Gas Prices in the Face of Structural Breaks -- Statistical Models vs. Neural Networks [PDF]

arXiv
Reliable gas price forecasts are an essential information for gas and energy traders, for risk managers and also economists. However, ahead of the war in Ukraine Europe began to suffer from substantially increased and volatile gas prices which culminated in the aftermath of the North Stream 1 explosion.
arxiv  

Automatic detection of micro-emboli by means of a generalized autoregressive conditional heteroskedasticity model. [PDF]

, 2010
Jean‐Marc Girault, Sébastien Ménigot, L. Deibine   +2 more
openalex   +2 more sources

GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance [PDF]

arXiv
Christoffersen, Jacobs, Ornthanalai, and Wang (2008) (CJOW) proposed an improved Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model for valuing European options, where the return volatility is comprised of two distinct components. Empirical studies indicate that the model developed by CJOW outperforms widely-used single-component ...
arxiv  

Forecasting cryptocurrency returns using classical statistical and deep learning techniques

International Journal of Information Management Data Insights
The emergence of cryptocurrencies has generated enthusiasm and concern in the modern global economy. However, their high volatility, erratic price fluctuations, and tendency to exhibit price bubbles have made investors cautious about investing in them ...
Nehal N. AlMadany, Omar Hujran, Ghazi Al Naymat, Aktham Maghyereh   +3 more
doaj  

Nonparametric Test for Volatility in Clustered Multiple Time Series. [PDF]

Comput Econ, 2023
Barrios EB, Redondo PVT.
europepmc   +1 more source