Results 91 to 100 of about 18,304 (313)
Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH) [PDF]
Journal of Asset Management and Financing, 2018 During last decades, financial markets have witnessed large losses due to their exposure to unexpected market crash. Resulting in these financial disasters, financial institutions, regulators and academics have developed intensive research to provide ...
Hassan Karnameh haghighi, Ali Rostami
doaj +1 more source
On the Continuous Limit of Weak GARCH [PDF]
arXiv, 2018 We prove that the symmetric weak GARCH limit is a geometric mean-reverting stochastic volatility process with diffusion determined by kurtosis of physical log returns; this provides an improved fit to implied volatility surfaces. When log returns are normal the limit coincides with Nelson's limit.
arxiv
GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics [PDF]
Journal of Economic Perspectives, 2001 ARCH and GARCH models have become important tools in the analysis of time series data, particularly in financial applications. These models are especially useful when the goal of the study is to analyze and forecast volatility. This paper gives the motivation behind the simplest GARCH model and illustrates its usefulness in examining portfolio risk ...
openaire +3 more sources
Advanced Sustainable Systems, EarlyView.Rigid, lightweight foams for thermal insulation are produced using a universal and scalable method: results are compared between pilot plant trials, four wood residues, pulp, ocean water, and a biosurfactant. Two guidelines for using this method are suggested: use a distribution of rigid wood microparticle sizes and shapes and match the average ...
Elizabeth Dobrzanski +9 more
wiley +1 more source
Contemporaneous aggregation of GARCH processes [PDF]
Journal of Time Series Analysis, 2007 Abstract. In this article, the effect of contemporaneous aggregation of heterogeneous generalized autoregressive conditionally heteroskedastic (GARCH) processes, as the cross‐sectional size diverges to infinity is studied. We analyse both cases of cross‐sectionally dependent and independent individual processes.
openaire +8 more sources
Advanced Energy Materials, EarlyView.The influence on selectivity of the two solvent additives, 1‐chloronaphthalene and tetralin, on the film morphology and formation kinetics is investigated for printed organic solar cells based on the polymer donor and the non‐fullerene small molecule acceptor. Swelling and breakdown of initially formed crystals are found.
Jinsheng Zhang +13 more
wiley +1 more source
Quipukamayoc, 2017 El estudio de la volatilidad de la rentabilidad de los mercados financieros internacionales y su incidencia en la rentabilidad de la Bolsa de Valores de Lima es muy importante para los agentes que toman parte en los mercados: Los inversionistas del ...
Pedro Pablo Chambi Condori
doaj +1 more source
M-estimation in GARCH Models in the Absence of Higher-Order Moments [PDF]
arXiv, 2020 We consider a class of M-estimators of the parameters of a GARCH (p,q) model. These estimators involve score functions and, for adequate choices of the score functions, are asymptotically normal under milder moment assumptions than the usual quasi maximum likelihood, which makes them more reliable in the presence of heavy tails.
arxiv
Agribusiness, EarlyView.Abstract The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend ...
Yiyang Qiao, Byeong‐il Ahn
wiley +1 more source
European Journal of Organic Chemistry, Volume 2022, Issue 45, December 6, 2022., 2022 In this publication the utilization of bis(NHCP) ligands is expanded towards complexation of silicon precursors giving access to Si(IV) dications [2 a] and [2 b]. These complexes present the first examples of bis(NHCP)‐supported Si(IV) dications, showing expected high Lewis acidity.
Ramona Baierl +4 more
wiley +1 more source