Results 11 to 20 of about 2,061 (206)
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2021 Bu çalışmada, Türkiye’nin 2010 – 2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler uygulanmıştır.
Mustafa Çevik, Süleyman Serdar Karaca
doaj +1 more source
Block Trading Based Volatility Forecasting: An Application of VACD-FIGARCH Model [PDF]
The Journal of Asian Finance, Economics and Business, 2020 The purpose of this study is to construct the ACD model for the block trading volume duration. The ACD model based on the block trading volume duration is referred to as Volume ACD (VACD) in this study. By integrating with GARCH-type models, the VACD based GARCH type models, which include VACD-GARCH, VACD-IGARCH and VACD-FIGARCH models, are set up ...
Teng-Tsai TU, Chih-Wei LIAO
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Direct versus iterated multiperiod Value‐at‐Risk forecasts
Journal of Economic Surveys, Volume 37, Issue 3, Page 915-949, July 2023., 2023 Abstract Since the late nineties, the Basel Accords require financial institutions to measure their financial risk by reporting daily predictions of Value at Risk (VaR) based on 10‐day returns. However, a vast part of the related literature deals with VaR predictions based on one‐period returns.
Esther Ruiz, María Rosa Nieto
wiley +1 more source
DEVELOPING THE HYBRID ARIMA- FIGARCH MODEL FOR TIME SERIES ANALYSIS
FUDMA JOURNAL OF SCIENCES, 2023 This study takes into account the newly developed hybrid ARIMA-FIGARCH. We use the daily price index of the S&P 500. The data employed for this study was secondary in nature for all the variables and was obtained from the publications of the Central Bank of Nigeria Bulletin, the National Bureau of Statistics, and the World Bank Statistics Database,
Musa Usman Bawa +4 more
openaire +1 more source
Volatility and dynamic dependence modeling: Review, applications, and financial risk management
WIREs Computational Statistics, Volume 14, Issue 5, September/October 2022., 2022 Moving 20‐day window dynamic risks of Alphabet Inc. (GOOGL), the Bank of America Corporation (BAC), and the Coca‐Cola Company (KO) during 26 December 2017 to 31 December 2020. Abstract Since the introduction of ARCH models close to 40 years ago, a wide range of models for volatility estimation and prediction have been developed and integrated into ...
Mike K. P. So +3 more
wiley +1 more source
Asymmetric long memory garch: a reply to hwang's model [PDF]
, 2003 Hwang (Econom. Lett. 71 (2001) 1) proposes the FIFGARCH model to represent long memory asymmetric conditional variances. However, the model is badly specified and does not nest some fractionally integrated heteroskedastic models previously proposed.
Pérez, Ana, Ruiz, Esther
core +5 more sources
International Review of Finance, Volume 22, Issue 3, Page 540-550, September 2022., 2022 Abstract We examine the forecasting power of a daily newspaper‐based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR‐RV) model.
Matteo Bonato +3 more
wiley +1 more source
Nonlinear Volatility Risk Prediction Algorithm of Financial Data Based on Improved Deep Learning
Discrete Dynamics in Nature and Society, Volume 2022, Issue 1, 2022., 2022 With the gradual integration of global economy and finance, the financial market presents many complex financial phenomena. To increase the prediction accuracy of financial data, a new nonlinear volatility risk prediction algorithm is proposed based on the improved deep learning algorithm.
Wangsong Xie, Stefan Cristian Gherghina
wiley +1 more source
[Retracted] Prediction of High‐Frequency Economic Data Based on Stochastic Fluctuation Model
Security and Communication Networks, Volume 2022, Issue 1, 2022., 2022 In order to improve the effect of economic high‐frequency data analysis, this paper combines the stochastic fluctuation model to carry out the forecast analysis of economic high‐frequency data. Moreover, this paper uses the spider web model for data processing and makes a preliminary judgment on the extent to which futures/stock prices lead the spot ...
Xiaoyang Zhang +3 more
wiley +1 more source
Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis
Discrete Dynamics in Nature and Society, Volume 2022, Issue 1, 2022., 2022 Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests.
Upananda Pani +5 more
wiley +1 more source