Results 71 to 80 of about 11,262 (157)
Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi
Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu DergisiModern finans teorisinin köşe taşlarından biri olan Etkin Piyasa Hipotezi, piyasada mevcut olan tüm bilginin kullanılması suretiyle piyasanın üzerinde getiri elde edilemeyeceğini öne sürmektedir. Bununla birlikte finansal piyasalarda yapılan çalışmaların
Arzu Özmerdivanlı
doaj +1 more source
Dependence Modelling using GARCH, EGARCH, and Copula Models:
Asia Proceedings of Social Sciences, 2018 Copula become a popular tool to measure the dependency between financial data due to its ability to capture the non-normal distributions. Hence, this paper will inspect the impact of input models towards the parameter estimation of marginal and copula models for KLCI and FBMHS returns series by considering the ARMA-GARCH model and the ARMA-EGARCH model.
Nurul Hanis Aminuddin Jafry +2 more
openaire +2 more sources
Evaluating exponential GARCH models [PDF]
In this paper, a unified framework for testing the adequancy of an estimated EGARCH model is presented. The tests are Lagrange multiplier or Lagrange multiplier type tests and include testing an EGARCH model against a higher-order one and testing ...
Malmsten, Hans
core
Spatial and spatiotemporal volatility models: A review
Journal of Economic Surveys, Volume 39, Issue 3, Page 1037-1091, July 2025.Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity ...
Philipp Otto +4 more
wiley +1 more source
Modelling Volatility Cycles: The MF2‐GARCH Model
Journal of Applied Econometrics, Volume 40, Issue 4, Page 438-454, June/July 2025.ABSTRACT We propose a novel multiplicative factor multi‐frequency GARCH (MF2‐GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one‐component GARCH models are predictable by a moving average of past standardized forecast errors.
Christian Conrad, Robert F. Engle
wiley +1 more source
International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord [PDF]
A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c).
Juan-Ángel Jiménez-Martín +2 more
core +3 more sources
Modeling the Interactions between Volatility and Returns using EGARCH‐M
Journal of Time Series Analysis, 2018 An EGARCH‐M model, in which the logarithm of scale is driven by the score of the conditional distribution, is shown to be theoretically tractable as well as practically useful. A two‐component extension makes it possible to distinguish between the short‐ and long‐run effects of returns on volatility, and the resulting short‐ and long‐run volatility ...
Lange, Rutger-Jan, Harvey, AC
openaire +3 more sources
Bayesian modeling and forecasting of 24-hour high-frequency volatility: A case study of the financial crisis [PDF]
, 2014 This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities, seasonal ...
Johannes, Michael S. +1 more
core
MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH
E-Jurnal Matematika, 2017 In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH.
VIKY AMELIAH +2 more
doaj +1 more source
Multivariate range-based EGARCH models
International Review of Financial Analysis, 2022 Lili Yan +2 more
openaire +1 more source