Results 31 to 40 of about 2,588 (267)
Neural Generalised AutoRegressive Conditional Heteroskedasticity
, 2022 We propose Neural GARCH, a class of methods to model conditional heteroskedasticity in financial time series. Neural GARCH is a neural network adaptation of the GARCH 1,1 model in the univariate case, and the diagonal BEKK 1,1 model in the multivariate case.
Yin, Zexuan, Barucca, Paolo
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Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes [PDF]
Nonlinear Processes in Geophysics, 2005 Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average ...
W. Wang +4 more
doaj
The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange
Energies, 2021 Recent researches on behavioral finance have tested for, among others, evidence for the relations between weather, investors’ mood, and investment decisions.
Waldemar Tarczyński +4 more
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Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity [PDF]
Journal of Time Series Analysis, 2018 A limit theory is developed for mildly explosive autoregressions under stationary (weakly or strongly dependent) conditionally heteroskedastic errors. The conditional variance process is allowed to be stationary, integrable and mixingale, thus encompassing general classes of generalized autoregressive conditional heteroskedasticity‐type or stochastic ...
Arvanitis, Stelios, Magdalinos, Tassos
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ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
Econometric Theory, 2014 In this paper, we study adaptive nonparametric regression estimation in the presence of conditional heteroskedastic error terms. We demonstrate that both the conditional mean and conditional variance functions in a nonparametric regression model can be estimated adaptively based on the local profile likelihood principle.
JIN, Sainan, SU, Liangjun, XIAO, Zhijie
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Conditional Heteroskedasticity Driven by Hidden Markov Chains [PDF]
Journal of Time Series Analysis, 2001 We consider a generalized autoregressive conditionally heteroskedastic (GARCH) equation where the coefficients depend on the state of a nonobserved Markov chain. Necessary and sufficient conditions ensuring the existence of a stationary solution are given. In the case of ARCH regimes, the maximum likelihood estimates are shown to be consistent.
Christian Francq +2 more
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Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form [PDF]
SSRN Electronic Journal, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
GONÇALVES, Silvia, KILIAN, Lutz
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SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE [PDF]
Econometric Theory, 2004 Summary: This paper proposes a semiparametric approach by introducing a smooth scale function into the standard generalized autoregressive conditional heteroskedastic (GARCH) model so that conditional heteroskedasticity (CH) and scale change in financial returns can be modeled simultaneously.
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Foreign labor, peer‐networking and agricultural efficiency in the Italian dairy sector
Agribusiness, EarlyView.Abstract While the presence of immigrants in the agricultural sector is widely acknowledged, the empirical evidence on its economic consequences is lacking, especially from a microeconomic perspective. Using the Farm Accountancy Data Network panel data for Italian dairy farms in the period 2008–2018, the present study investigates the relationship ...
Federico Antonioli +2 more
wiley +1 more source
Traceability of Agri‐Food Products: The Key to Conscious Trade
Agribusiness, EarlyView.ABSTRACT Globalization and growing concerns about sustainability have led to improvements in product traceability, quality, and sustainability. Traceability contributes to environmental protection and supports sustainable development by fostering transparency in agricultural practices and encouraging the responsible use of resources.
Scarlett Queen Almeida Bispo +5 more
wiley +1 more source