Results 91 to 100 of about 30,945,589 (274)
Humanities & Social Sciences CommunicationsThis study examines the nexus between external shocks and micro-transmission aspects of volatility persistence and market efficiency for the Malawian Foreign exchange market.
Joseph Paul Chunga, Ping YU
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Analyzing the South African Equity Market Volatility and Economic Policy Uncertainty During COVID-19
EconomiesThis study examines the dynamics of equity market volatility and economic policy uncertainty (EPU) in South Africa during the COVID-19 pandemic. Using daily return data for sectoral indices and the JSE All Share Index (ALSI) from 1 January 2020 to 31 ...
Thokozane Ramakau +3 more
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Multimodality and the GARCH Likelihood [PDF]
We investigate several aspects of GARCH models which are relevant for empirical applications. In particular, we note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
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A Fast and Highly Stable Aqueous Calcium‐Ion Battery for Sustainable Energy Storage
ChemSusChem, Volume 18, Issue 6, March 15, 2025.Aqueous batteries provide a low‐cost, safer alternative to lithium‐ion batteries, but their viability is often limited by rapid electrode degradation. This study shows that replacing K+ with divalent Ca2+ ions in the electrolyte significantly boosts the stability of both copper hexacyanoferrate cathodes and polyimide anodes, enabling fast‐charging ...
Raphael L. Streng +4 more
wiley +1 more source
Previsão da volatilidade no mercado interbancário de câmbio
RAE: Revista de Administração de Empresas, 2005 O artigo apresenta um estudo comparativo da capacidade preditiva dos modelos EWMA, GARCH (1,1), EGARCH (1,1) e TARCH (1,1), quando utilizados para prever a volatilidade das taxas de câmbio praticadas no mercado interbancário brasileiro.
Clayton Peixoto Goulart +3 more
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Regime switching GARCH models [PDF]
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information.
Luc, BAUWENS +2 more
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Coupling Fluid Neutrals to Gyrokinetic Plasma Dynamics for Edge and SOL Turbulence Simulations
Contributions to Plasma Physics, EarlyView.ABSTRACT Accurate modeling of turbulent transport in magnetic confinement fusion devices requires extending first‐principles gyrokinetic simulations from the core to the edge and scrape‐off layer (SOL), where additional physics—particularly plasma–neutrals interactions—must be included.
Sabine Ogier‐Collin +3 more
wiley +1 more source
, 2007 This paper investigates the forecasting ability of four different GARCH models and the Kalman filtermethod. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJRand the GARCH-X model. The paper also compares the forecasting ability
Wu, Hao, Choudhry, Taufiq
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RACE: Revista de Administração, Contabilidade e Economia, 2015 Neste artigo teve-se por objetivo comparar o risco das empresas que foram investidas por gestores de private equity e venture capital (PE/VC) em relação às que não receberam esse tipo de investimento. A base de dados utilizada foi os preços e os retornos
Júlio Pereira de Araújo +1 more
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Wake me up before you GO-GARCH [PDF]
In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002).
Boswijk, H.P., Weide, R. van der
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