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Investigating the Impact of International Sanctions on Performance Indicators of Tehran Stock Exchange with Industries Divided From 2010 to 2020 [PDF]
مدلسازی اقتصادسنجی, 2023 In this research, the impact of the impact of the international sanctions index on the performance indices of the Tehran Stock Exchange by industries, including mass production indices, banks, insurance, automobiles, investments, basic metals, rubber ...
Hamid Reza Vaezian +3 more
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Recurrent conditional heteroskedasticity
Journal of Applied Econometrics, 2022 SummaryWe propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in‐sample analysis and out‐of‐sample forecasting of the traditional conditional heteroskedastic models. In particular, we incorporate auxiliary deterministic processes, governed by recurrent neural networks, into
Nguyen, T. -N., Tran, M. -N., Kohn, R.
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A Study on Cryptocurrency Log-Return Price Prediction Using Multivariate Time-Series Model
Axioms, 2022 Cryptocurrencies are highly volatile investment assets and are difficult to predict. In this study, various cryptocurrency data are used as features to predict the log-return price of major cryptocurrencies. The original contribution of this study is the
Sang-Ha Sung +3 more
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Multivariate mixed normal conditional heteroskedasticity [PDF]
Computational Statistics & Data Analysis, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Luc, BAUWENS +2 more
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Short-term user load forecasting based on GARCH-M family model with different distributions
电力工程技术, 2022 Power load forecasting is one of the basic tasks power system research,and time series analysis is currently the most widely used forecasting method. Aiming at the fluctuation and the characteristics of peak and thick tail of user daily load time series ...
WANG Chen, YE Jiangming, HE Jiahong
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Probabilistic Forecasting of Wind Power Generation Using Online LASSO VAR and EGARCH Model
Shanghai Jiaotong Daxue xuebao, 2023 Wind power generation has uncertainty due to the high fluctuation of wind speed. In traditional wind power prediction models, the uncertainty is measured by normal distribution with zero mean and constant variance.
WANG Peng, LI Yanting, ZHANG Yu
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Periodic Autoregressive Conditional Heteroscedasticity [PDF]
Journal of Business & Economic Statistics, 1996 Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive seasonal time variation in the second-order moments. This new class of periodic autoregressive conditional heteroscedasticity, or P-ARCH,
Bollerslev, T, Ghysels, E
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Mixed Exponential Power Asymmetric Conditional Heteroskedasticity [PDF]
Studies in Nonlinear Dynamics & Econometrics, 2009 To match the stylized facts of high frequency financial time series precisely and parsimoniously, this paper presents a finite mixture of conditional exponential power distributions where each component exhibits asymmetric conditional heteroskedasticity. We provide stationarity conditions and unconditional moments to the fourth order. We apply this new
Mohammed Bouaddi, Jeroen V.K. Rombouts
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International Journal of Financial Studies, 2021 This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE).
Loc Dong Truong, H. Swint Friday
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Cogent Economics & Finance, 2021 This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean.
Daiki Maki, Yasushi Ota
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