Results 1 to 10 of about 71,229 (282)
Forecasting gains by using extreme value theory with realised GARCH filter
IIMB Management Review, 2021 Early empirical evidence suggests that the realised generalised autoregressive conditional heteroskedasticity (GARCH) model provides significant forecasting gains over the standard GARCH models in volatility forecasting.
Samit Paul, Prateek Sharma
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Reviews of Management Sciences, 2022 Purpose: The purpose of this paper is to predict the volatility of the KSE-100 index using econometric and machine learning models. It also designs hybrid models for volatility forecasting by combining these two models in three different ways ...
Komal Batool +2 more
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Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
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Risks, 2023 Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility.
Rhenan G. S. Queiroz, Sergio A. David
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Examining the periodic relationship between risk and return using the two-variable model approach [PDF]
New Applied Studies in Management, Economics & Accounting, 2023 The purpose of this research is to investigate the periodic relationship between risk and return using the two-variable model approach. The current research is of a descriptive type and in terms of purpose, it is in the correlation-regression research ...
Farshid Kazemi
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Optimal Portfolio Allocation with Elliptical and Mixed Copulas
Istanbul Business Research, 2023 This research aims to investigate the asset allocation performance of three different optimization methods commonly applied in the literature for a portfolio composed of univariate returns generated from Mixed and Elliptic copulas instead of historical ...
Cemile Özgür, Vedat Sarıkovanlık
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Closing the GARCH gap: Continuous time GARCH modeling [PDF]
Journal of Econometrics, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Werker, B.J.M., Drost, F.C.
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Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Silvennoinen, Annastiina +1 more
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Carpo-metacarpal dislocation treatment
PAMJ Clinical Medicine, 2020 We report the case of a young patient of 24 years, motorcyclist, victim of road accident, causing a closed trauma of the right wrist, the examination on admission finds a swollen, painful hand without vascular-nervous disorders, or compartment syndrome ...
Oussama Eladaoui, Abdelhak Garch
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An exceptional localization of hydatidosis
PAMJ Clinical Medicine, 2020 A 48-years-old woman, presenting a huge mass of the posterior surface of the thigh, fixed on the deep and superficial planes, evolving for 1 year. The patient has no particular pathological history, and no other signs were noted, including neither weight´
Oussama Eladaoui, Abdelhak Garch
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