Results 41 to 50 of about 7,709 (301)

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.
Francq, Christian, Roussignol, Michel, Zakoian, Jean‐michel   +2 more
openaire   +3 more sources

Misspecification and Bootstrap Tests in Multivariate Time Series Models with Conditional Heteroskedasticity [PDF]

, 2013
Conditional heteroskedasticity is often encountered in economic and financial time series. Since the introduction of autoregressive conditional heteroskedasticity (ARCH) by Engle in 1982, modelling volatility has received much attention in financial ...
Catani, Paul
core  

Crop Insurance Design and On‐Farm Risk Adaptation

Applied Economic Perspectives and Policy, EarlyView.
ABSTRACT The United States spends billions annually on crop insurance premium subsidies, yet the prevailing distance‐based guarantee design unintentionally rewards risk‐taking by linking subsidies to yield variability. We consider a simple redesign: define guarantees in terms of probability so that coverage reflects a consistent likelihood of indemnity.
Gerald Van Tassell, Alan P. Ker
wiley   +1 more source

Mixed Normal Conditional Heteroskedasticity [PDF]

Journal of Financial Econometrics, 2004
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed -normal distribution coupled with a GARCH -type structure which allows for conditional variance in each of the components as well as dynamic feedback between the components ...
openaire   +1 more source

Conditional Heteroskedasticity in the Volatility of Asset Returns [PDF]

SSRN Electronic Journal, 2021
We propose a new class of conditional heteroskedasticity in the volatility (CHV) models which allows for time-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model of Ding (2021). CH-V models can be seen as a special case of the stochastic volatility of volatility model.
openaire   +2 more sources

Volatility analysis and forecasting of vegetable prices using an ARMA‐GARCH model: An application of the CF filter and seasonal adjustment method to Korean green onions

Agribusiness, EarlyView.
Abstract The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend ...
Yiyang Qiao, Byeong‐il Ahn
wiley   +1 more source

Chaos, Fractionality, Nonlinear Contagion, and Causality Dynamics of the Metaverse, Energy Consumption, and Environmental Pollution: Markov-Switching Generalized Autoregressive Conditional Heteroskedasticity Copula and Causality Methods

Fractal and Fractional
Metaverse (MV) technology introduces new tools for users each day. MV companies have a significant share in the total stock markets today, and their size is increasing.
Melike Bildirici, Özgür Ömer Ersin, Blend Ibrahim   +2 more
doaj   +1 more source

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, Simone Severini, Mauro Vigani   +2 more
wiley   +1 more source

Volatility Modeling and Spillover: The Turkish and Russian Stock Markets

Istanbul Business Research
This study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and Russian stock market indices. To this end, generalized autoregressive conditional heteroskedasticity models that are classified as short ...
Ahmet Galip Gençyürek
doaj   +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, Fernanda Aparecida Silva, Michelle Márcia Viana Martins, Marcelo José Braga Nonnenberg, Ruan da Silva Vianna, Carla Cristina Passos Cruz   +5 more
wiley   +1 more source