Results 131 to 140 of about 989 (203)

Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch

, 2016
O objetivo principal deste estudo é investigar a dependência de longo prazo da inflação brasileira, descrevendo-a como um processo fracionariamente integrado tanto na média quanto na variância.
Marques, Andre M., Figueiredo, Erik Alencar de   +1 more
core  

Equilibrium bifurcation and extreme risk in the EU carbon futures market. [PDF]

Heliyon
Mi J, Yang X, Li J, Yang Z.
europepmc   +1 more source

How to Promote the Performance of Parametric Volatility Forecasts in the Stock Market? A Neural Networks Approach. [PDF]

Entropy (Basel), 2021
Su JB.
europepmc   +1 more source

Why Do Big Data and Machine Learning Entail the Fractional Dynamics? [PDF]

Entropy (Basel), 2021
Niu H, Chen Y, West BJ.
europepmc   +1 more source

以FIGARCH模型估計長期利率期貨風險值

近幾年，風險值已經成為金融機構風險控管的重要工具。它的明確及簡單易懂是其讓人接受的原因，加上巴塞爾銀行監理委員會在1996提出的巴塞爾協定修正，規定銀行將市場風險因素納入考量，並允許銀行自行發展內部模型，以風險值模型衡量市場風險後，各種風險值的估算方法相繼被提出。 本篇論文是使用部分整合自回歸條件變異數（Fractional Integrated Generalized Autoregressive Conditional Heteroskedasticity，簡稱FIGARCH ...
吳秉宗
core  

AI companies' strategies with traditional vs. digital assets amid geopolitical and banking crises. [PDF]

Heliyon
Dammak W, Fakhfekh M, Alnafisah H, Jeribi A.   +3 more
europepmc   +1 more source

Comparing COVID-19 with the GFC: A shockwave analysis of currency markets. [PDF]

Res Int Bus Finance, 2021
Gunay S.
europepmc   +1 more source

High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. [PDF]

PLoS One
Kuang W.
europepmc   +1 more source

Modelling stock market data in China: Crisis and Coronavirus. [PDF]

Financ Res Lett, 2021
Cristofaro L, Gil-Alana LA, Chen Z, Wanke P.   +3 more
europepmc   +1 more source