Results 91 to 100 of about 11,730 (214)
Trends and Volatilities in Heterogeneous Patent Quality in Taiwan
Journal of Technology Management & Innovation, 2009 This study analyzes patent trends and volatilities for three heterogeneous quality patents in the Taiwan patent system from January 1973 to June 2006. The estimated models are symmetric GARCH and asymmetric EGARCH, providing full sample, rolling sample ...
Wen-Cheng Lu +2 more
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Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
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Borsa Istanbul Review, 2019 We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh +2 more
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Model Selection and Testing of Conditional and Stochastic Volatility Models [PDF]
This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and ...
Caporin, M., McAleer, M.J.
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates [PDF]
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long ...
Chang, C-L., McAleer, M.J.
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"Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain" [PDF]
Spain is a leader in terms of total international tourist arrivals and receipts. The Balearic Islands are one of the most popular destinations in Spain. For tourism management and marketing, it is essential to forecast tourist arrivals accurately.
Ana Bartolome +3 more
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Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models [PDF]
Revista Română de Statistică, 2017 The aim of this study consists in examining the changes in the volatility of daily returns of EUR/RON exchange rate using on the one hand symmetric GARCH models (ARCH and GARCH) and on the other hand the asymmetric GARCH models (EGARCH, TARCH and PARCH),
Andreea – Cristina PETRICĂ +1 more
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Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models [PDF]
Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, we model the value-at-risk using a set of ...
Vít Bubák
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International Journal of Bio-Resource and Stress ManagementThe experiment was conducted from March, 2023 to March, 2024 at Dr. RPCAU, Pusa, Bihar, India to study the performance of GARCH and EGARCH models for forecasting onion prices.
Devkar Divya Raju, Mahesh Kumar
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Market efficiency and the Euro: the case of the Athens Stock Exchange [PDF]
, 2003 The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the ...
Panagiotidis, T
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