Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M [PDF]
, 2003 This paper employs a Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002 Three direct (office, retail and industrial
West, Tracey A., Worthington, Andrew C.
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Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form [PDF]
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d.
Gonçalves, Sílvia, Kilian, Lutz
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Contemporaneous aggregation of GARCH processes
, 2007 In this article, the effect of contemporaneous aggregation of heterogeneous generalized autoregressive conditionally heteroskedastic (GARCH) processes, as the cross-sectional size diverges to infinity is studied.
Zaffaroni, P
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Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. [PDF]
F1000Res, 2022 Ali F, Suri P, Kaur T, Bisht D.
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Portfolio optimization with mixture vector autoregressive models
, 2020 Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as ...
Boshnakov, Georgi N., Ravagli, Davide
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Weather forecasting for weather derivatives : [revised version: January 2, 2004] [PDF]
, 2004 We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market.
Campbell, Sean D., Diebold, Francis X.
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DEoptim: An R Package for Global Optimization by Differential Evolution [PDF]
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.
David Ardia +4 more
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On Business Cycle Asymmetries in G7 Countries [PDF]
We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our
Khurshid M. Kiani, Prasad Bidarkota
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Factors Contributing to the Pre-Elimination of Malaria from Hainan Island, China, 1986-2009. [PDF]
Am J Trop Med Hyg, 2023 Sun D +5 more
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Nonparametric Test for Volatility in Clustered Multiple Time Series. [PDF]
Comput Econ, 2023 Barrios EB, Redondo PVT.
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