Results 101 to 110 of about 72,454 (299)
A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios [PDF]
This paper develops a new bivariate Markov regime switching BEKK-GARCH (RS-BEKK-GARCH) model. The model is a state-dependent bivariate BEKK- GARCH model, and an extension of Gray’s univariate generalized regime- switching (GRS) model to the bivariate ...
Hsiang-Tai Lee, Jonathan Yoder
core
Chemistry – A European Journal, EarlyView.This work introduces the concept of pseudoglucosinolates (psGSLs) and reports the synthesis and evaluation of nitroreductase‐responsive psGSLs. These compounds represent a complementary prodrug strategy to natural glucosinolates (GSLs) for the controlled release of isothiocyanates (ITCs), enabling bio‐responsive protein labeling, as demonstrated in ...
Claire C. Jimidar +13 more
wiley +1 more source
An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility [PDF]
This paper considers Value at Risk measures constructed under a discrete mixture of normal distribution on the innovations with time-varying volatility, or MN-GARCH, model. We adopt an approach based on the continuous empirical characteristic function to
Dinghai Xu, Tony S. Wirjanto
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The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
, 2008 This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model of price ...
A. Pizzinga +13 more
core +2 more sources
Chemistry – A European Journal, EarlyView.The unique photophysical properties of heavy T‐shaped Sb and Bi trisamides are reported. A ligand‐to‐pnictogen charge‐transfer excitation from a redox‐active NNN pincer to a vacant pnictogen p‐orbital populates a triplet state that emits in the highly desirable NIR‐II region, with lifetimes up to the µs range.
Katharina L. Deuter +4 more
wiley +1 more source
Accurate Conditional Variance Models for Predicting Asymmetric Volatility in Cryptocurrency Markets
İzmir İktisat DergisiThis study includes tests on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and its derivatives to conduct complex and detailed volatility analysis for the 5 highest-volume cryptocurrencies traded in September 2023. The tests
Onur Çelebi, Erhan Demireli
doaj +1 more source
Forecasting the time-varying beta of UK firms: GARCH models vs Kalman filter method
, 2007 This paper forecast the weekly time-varying beta of 20 UK firms by means of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model.
Choudhry, Taufiq, Wu, Hao
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Design of Fuel‐Dependent, Complex‐Coacervate‐Based Synthetic Cells
Chemistry – A European Journal, EarlyView.Fuel‐dependent synthetic cells form and persist only in the presence of chemical fuel, decaying under starvation. We establish design rules for hexapeptide‐based coacervates, showing that tryptophan enhances polyanion binding, extends lifetime, and reduces waste sensitivity.
Anna‐Lena Holtmannspötter +9 more
wiley +1 more source
A COMPARISON OF ARCH MODELS: THE DETERMINANTS OF BITCOIN’S PRICE [PDF]
Akademičnij OglâdThe aim of this study is to determine the number of transactions among the currencies, which will eventually become a part of our lives, cannot be physically held, can move quickly, and emerge as a new shopping and investment tool in the changing world
Esin Demirel
doaj +1 more source
Do Macroeconomic Announcements Cause Asymmetric Volatility [PDF]
multivariate GARCH;volatility;macroeconomics;garch models;stock markets;bond ...
Goeij, P. C. de, Marquering, W.
core +1 more source