Results 161 to 170 of about 30,945,589 (274)

GARCH models augmented with high frequency data: Heavy and Realized GARCH

openConsidereremo due modelli, estensione del modello GARCH, in particolare il Realized GARCH e l’Heavy GARCH, verrà fatta una stima empirica della varianza condizionata con tali modelli su un dataset contenente i prezzi di Microsoft Open, High, Low ...
GRAVILI, COSIMO MARCO
core  

A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]

We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
Antonio García-Ferrer, Daniel Peña, Ester González-Prieto   +2 more
core  

The Ecology of Human Sleep (EcoSleep) Cohort Study: Protocol for a longitudinal repeated measurement burst design study to assess the relationship between sleep determinants and outcomes under real‐world conditions across time of year

Journal of Sleep Research, Volume 34, Issue 2, April 2025.
Summary The interplay of daily life factors, including mood, physical activity, or light exposure, influences sleep architecture and quality. Laboratory‐based studies often isolate these determinants to establish causality, thereby sacrificing ecological validity.
Anna M. Biller, Nayab Fatima, Chrysanth Hamberger, Laura Hainke, Verena Plankl, Amna Nadeem, Achim Kramer, Martin Hecht, Manuel Spitschan   +8 more
wiley   +1 more source

Prediction, lag and mixture effects of meteorology and pollutants on the incidence of pulmonary tuberculosis in Jining City, China. [PDF]

BMC Public Health
Cao H, Liu W, Yuan J, Wang W, Hou W.
europepmc   +1 more source

Il Value at Risk e l'impatto dei Modelli ARCH e GARCH nella valutazione della volatilità

In the context of financial markets, risk management plays a central role for investors, financial institutions, and regulators. One of the most widely used tools for measuring and controlling market risk is Value at Risk (VaR), a statistical measure that estimates the potential loss of a financial portfolio within a given confidence interval and over ...
openaire   +1 more source

Parameter estimation in nonlinear AR–GARCH models [PDF]

This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a general ...
Mika Meitz, Pentti Saikkonen
core  

Robust Estimation and Inference for Time‐Varying Unconditional Volatility

Journal of Time Series Analysis, EarlyView.
ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee, Rickard Sandberg, Genaro Sucarrat   +2 more
wiley   +1 more source

National and regional Temporal trends and forecasting of preterm birth in brazil: evidence from National birth data (2014-2023) with projections to 2030. [PDF]

BMC Pregnancy Childbirth
Victor A, Nhancololo AM, Bah HAF, Xavier SP, Gotine AREM, Moreira VA, Charles CM, Cerqueira-Silva T, Rondó PH.   +8 more
europepmc   +1 more source

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley   +1 more source

Green credit risk assessment and prediction in China's construction industry: based on the optuna-catboost model. [PDF]

Sci Rep
Qin Z, Meng M, Li D, Li J.
europepmc   +1 more source