Results 131 to 140 of about 18,925 (204)

Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]

PLoS One
Siddiqui N, Mohamad Hasim H.
europepmc   +1 more source

Comparison of Value at Risk (VaR) Multivariate Forecast Models. [PDF]

Comput Econ, 2022
Müller FM, Righi MB, Righi MB.
europepmc   +1 more source

Using smart transportation assets to hedge fossil energy markets: Evidence from quantile-based VAR approach. [PDF]

PLoS One
Hasan MB, Hossain MN, Khatun H, Uddin GS, Bilgin MH, Tian S.   +5 more
europepmc   +1 more source

Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]

Entropy (Basel)
Than HT.
europepmc   +1 more source

A Multivariate Generalized Orthogonal Factor GARCH Model

The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector.
Saikkonen, Pentti, Lanne, Markku
core  

AI-Carbon-Energy: Spillover effects and drivers in interconnected markets. [PDF]

iScience
Zhang M, Pan Y, Su B, Zhou D.
europepmc   +1 more source

Exploring time and frequency linkages of green bond with renewable energy and crypto market. [PDF]

Ann Oper Res, 2022
Yadav MP, Tandon P, Singh AB, Shore A, Gaur P.   +4 more
europepmc   +1 more source

Recurrent Neural Network GO-GARCH Model for Portfolio Selection. [PDF]

J Time Ser Econom
Burda M, Schroeder AK.
europepmc   +1 more source

Systemic risk spillover between the stock market and banking deposits: Evidence from a sustainability perspective in the South Asian countries. [PDF]

PLoS One
Liu L, Rafique A, Abbas N, Umer Quddoos M, Ahmad MM, Siddiqi AA.   +5 more
europepmc   +1 more source

High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. [PDF]

PLoS One
Kuang W.
europepmc   +1 more source