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
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MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS [PDF]
In this paper we analyze the return of exchange rate in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the exchange rate return in order to obtain the best models
Cociuba Mihail Ioan, Trenca Ioan
core
Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances. [PDF]
J Environ Stud Sci, 2023 Villar-Rubio E +2 more
europepmc +1 more source
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
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Analysis of Drug-Resistant Bacteria Seasonality in Japan Using Financial Time Series Analysis Method: A Nationwide Longitudinal Study. [PDF]
Can J Infect Dis Med MicrobiolIto H, Oshida J, Fujita M, Kobayashi D.
europepmc +1 more source
Modified Kumaraswamy seasonal autoregressive moving average models with exogenous regressors for double-bounded hydro-environmental data. [PDF]
PLoS OneArmanini Stefanan A +3 more
europepmc +1 more source
Testing for vector autoregressive dynamics under heteroskedasticity [PDF]
In this paper we introduce a bootstrap procedure to test parameterrestrictions in vector autoregressive models which is robust incases of conditionally heteroskedastic error terms.
Hafner, C.M., Herwartz, H.
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Predicting the volatility of Chinese stock indices based on realized recurrent conditional heteroskedasticity. [PDF]
PLoS OneZhang G, Zhao H, Fan R.
europepmc +1 more source
Multiscale neural dynamics in sleep transition volatility across age scales: a multimodal EEG-EMG-EOG analysis of temazepam effects. [PDF]
GeroscienceSirpal P, Sikora WA, Refai HH.
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