LSTM-GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. [PDF]
Comput Econ, 2023 García-Medina A, Aguayo-Moreno E.
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Co-movement between Covid-19 and G20 stock market returns: A time and frequency analysis. [PDF]
Heliyon, 2023 Phiri A, Anyikwa I, Moyo C.
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Evaluate the DCC-GARCH and Realized-GARCH model hedging performance
, 2014 碩士本文以在芝加哥商品交易所交易的S&P 500期貨價格以及現貨價格為主要研究對象，研究期間取自2002年1月1日至2008年12月31日止，其中，樣本內期間設為2002年1月1日至2006年12月31日，樣本外期間設為2007年1月1日至2008年12月31日，使用視窗滾動法來估計。用了不同避險績效的衡量方法，包括變異數(Variance)與半變異數(Semi-variance)、效用函數(Utility function)、風險值(VaR)、條件風險值(CVaR)以及經濟價值(Economic ...
伍智培; Wu, Chih-Pei
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A Hybrid Model of VAR-DCC-GARCH and Wavelet Analysis for Forecasting Volatility
The 8th International Conference on Time Series and Forecasting, 2022 Maryam Nafisi-Moghadam, Shahram Fattahi
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Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. [PDF]
Comput Econ, 2022 Afuecheta E +3 more
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DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations
, 2019 This paper introduces the DCC-HEAVY and DECO-HEAVY models, which are dynamic models for conditional variances and correlations for daily returns based on measures of realized variances and correlations built from intraday data. Formulas for multi-step forecasts of conditional variances and correlations are provided.
Bauwens, Luc, Xu, Yongdeng
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Comparison of Value at Risk (VaR) Multivariate Forecast Models. [PDF]
Comput Econ, 2022 Müller FM, Righi MB, Righi MB.
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Venture Capital and Private Equity Diversification: A Var and DCC Garch Approach
Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438The terms “venture capital” and “private equity” are used in a loosely interchangeable manner when capital is invested in innovative technology-driven ideas or nascent-stage/unlisted companies. Pre-revenue idea-based/nascent-stage unlisted start-ups are financed by investors classified as venture capitalist investments, whereas post-revenue established
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Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach [PDF]
In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval
Marcelo Brutti Righi +1 more
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