Results 161 to 170 of about 5,743 (206)

Early-warning prediction of visceral leishmaniasis mortality using a multivariate STL-deep learning hybrid approach on 20 years of monthly time series. [PDF]

Front Public Health
El Guma F, Awadalla M, Al Rawi HZ, Saeed B, Alshanbari HM, Shokeralla AA, Alosaimi B.   +6 more
europepmc   +1 more source

Moments of the ARMA–EGARCH model [PDF]

The Econometrics Journal, 2003
Summary: This paper considers the moment structure of the general ARMA-EGARCH model. In particular, we derive the autocorrelation function of any positive integer power of the squared errors. In addition, we obtain the autocorrelations of the squares of the observed process and cross correlations between the levels and the squares of the observed ...
Menelaos Karanasos, J. Kim
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On periodic EGARCH models

Communications in Statistics - Simulation and Computation, 2020
This article deals with some probabilistic and statistical properties of a periodic exponential GARCH(1,1) model, which is very adequate and appropriate to capture and describe, at the same time, t...
Mohamed Sadoun, Mohamed Bentarzi
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On the stationarity and existence of moments of the periodic EGARCH process

Monte Carlo Methods and Applications, 2023
AbstractIn this paper, we will consider periodicEGARCH⁡(p,p){\operatorname{EGARCH}(p,p)}(exponential generalized autoregressive conditional heteroscedastic) processes denoted byPEGARCH⁡(p,p){\operatorname{PEGARCH}(p,p)}. These processes are similar to the standard EGARCH processes, but include seasonally varying coefficients.
Ines Lescheb, Walid Slimani
exaly   +3 more sources

EGARCH Model with Weighted Liquidity

Communications in Statistics - Simulation and Computation, 2013
We analyze a variant of the EGARCH model which captures the variation of the intra-day price. We study the asymptotic behavior of the estimators for the parameters of the model. We also illustrate our theoretical results by empirical studies.
Ciprian A. Tudor, Cristiana Tudor
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Testing for jumps in the EGARCH process

Mathematics and Computers in Simulation, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xiuhong Shi, Masahito Kobayashi
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Testing for EGARCH Against Stochastic Volatility Models

Journal of Time Series Analysis, 2005
Abstract. It is shown that the EGARCH model is the degenerate case of Danielsson's [Journal of Econometrics(1994) Vol. 61, pp. 375–400] stochastic volatility model where the disturbance of the transition equation of conditional volatility has zero variance.
Kobayashi, Masahito, Shi, Xiuhong
exaly   +3 more sources

Bootstrap forecast intervals for asymmetric volatilities via EGARCH model

Communications in Statistics - Theory and Methods, 2017
Bootstrap forecast intervals are developed for volatilities having asymmetric features, which are accounted for by fitting EGARCH models. A Monte-Carlo simulation compares the proposed forecast intervals with those based on GARCH fittings which ignore ...
Dong Wan Shin
exaly   +2 more sources

Full Bayesian Inference for GARCH and EGARCH Models

Journal of Business & Economic Statistics, 2000
A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection, and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. We provide implementation details and illustrations using the General Index of the Athens stock exchange.
Vrontos, Ioannis D., Dellaportas, Petros, Politis, Dimitris Nicolas, Vrontos, Ioannis D., Dellaportas, Petros, Politis, Dimitris Nicolas   +5 more
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