Results 31 to 40 of about 2,017,563 (356)
The Use of GARCH Autoregressive Models in Estimating and Forecasting the Crude Oil Volatility [PDF]
European Journal of Interdisciplinary Studies, 2022 Today, oil is one of the most popular commodities traded globally, due to its indispensable character and multiple properties offered to mankind. Increased attention is paid to the analysis of volatile and fluctuating trends in the overall price of this ...
Radu-Cristian MUȘETESCU +2 more
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Modelling the persistence of conditional variances [PDF]
Econometric Reviews, 1986 This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH) formulations. The discussion will be motivated by a simple asset pricing theory which is particularly appropriate for examining futures contracts with risk averse agents. A new
F Engle Robert, Bollerslev Tim
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Duality in Mean-Variance Frontiers with Conditioning Information [PDF]
SSRN Electronic Journal, 2007 Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship.
Francisco Peñaranda +2 more
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Using Bayesian Approach to Study the Time Varying Correlation among Selected Indices of Tehran Stock Exchange [PDF]
تحقیقات مالی, 2019 Objective: The effect of the contagion between financial assets is one of the most important challenges that investors are faced with. Financial markets have been severely affected by economic, political, and social events and they are subject to ...
Seyed Ali Hoseini Ebrahimabad +3 more
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Forecasting Inflation Applying ARIMA Model with GARCH Innovation: The Case of Pakistan
Journal of Accounting and Finance in Emerging Economies, 2021 Purpose: The research aims to build a suitable model for the conditional mean and conditional variance for forecasting the rate of inflation in Pakistan by summarizing the properties of the series and characterizing its salient features.
Tahira Bano Qasim +3 more
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Modeling inflation uncertainty in transition economies: The case of Russia and the former Soviet Republics [PDF]
Ekonomski Anali, 2008 This study investigates the linkage between inflation and inflation uncertainty in seven transitional economies (Armenia, Azerbaijan, Georgia, Kazakhstan, the Kyrgyz Republic, the Russian Federation and the Ukraine) which experienced hyper-inflation ...
Erkam Serkan, Cavusoglu Tarkan
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Structural Break Tests Robust to Regression Misspecification
Econometrics, 2018 Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits severe
Alaa Abi Morshed +2 more
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UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals [PDF]
, 2009 The paper examines whether a univariate data generating process can be identified which explains the data by having residuals that are independent and identically distributed, as verified by the BDS test.
A. Marathe +31 more
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Examining the periodic relationship between risk and return using the two-variable model approach [PDF]
New Applied Studies in Management, Economics & Accounting, 2023 The purpose of this research is to investigate the periodic relationship between risk and return using the two-variable model approach. The current research is of a descriptive type and in terms of purpose, it is in the correlation-regression research ...
Farshid Kazemi
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Modeling the Asymmetric in Conditional Variance
Asian Journal of Scientific Research, 2016 The purpose of this study is to model the asymmetric in conditional variance of Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) with Combine White Noise (CWN) model to obtain suitable results. Combine white noise has the minimum information criteria and high log likelihood when compare with EGARCH estimation.The ...
Agboluaje, Ayodele Abraham +2 more
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