Results 111 to 120 of about 71,229 (282)

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

Quantifying the Impact of Relativistic Precession on Tidal Disruption Event Light Curves

Astronomische Nachrichten, EarlyView.
ABSTRACT The tidal field of a black hole can turn a star into a gas stream whose orbit can precess, especially if the a black hole is rapidly spinning. In this work, we investigate the impact of precession on the light curves of tidal disruption events (TDE).
Diego Calderón, Ondřej Pejcha, Brian D. Metzger, Paul C. Duffell, Stephan Rosswog   +4 more
wiley   +1 more source

Modelos ortogonais para a estimativa multivariada de VAR (Value-at-risk) para risco de mercado: um estudo de caso comparativo

Revista de Economia Mackenzie, 2011
O presente trabalho tem como objetivo explorar diferentes modelos de estimativa da distribuição conjunta de fatores para risco de mercado, com ênfase nos modelos ortogonais. Foram explorados cinco modelos: 1.
João Luiz Chela, Jean Carlos Abrahão, Luiz Fernando Ohara Kamogawa   +2 more
doaj  

Long memory with Markov-Switching GARCH [PDF]

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
core  

Dry‐Films Containing Vanadium Tetrasulfide as Cathode Active Material for Solid‐State Batteries with High Rate Capability

Batteries &Supercaps, EarlyView.
The graphical abstract illustrates the effect of low and high energy ball milling (LBM, HBM) on VS4 composite cathodes with solid electrolyte, showing the morphological evolution. This study presents a comprehensive investigation of vanadium tetrasulfide (VS4) cathodes for solid‐state lithium batteries, utilizing innovative material characterization ...
Pascal Seete, Felix Hippauf, Susanne Dörfler, Holger Althues, Niklas M. Abke, Simon Wiemers‐Meyer, Kentaro Kuratani, Tomonari Takeuchi, Hikari Sakaebe, Martin Winter, Stefan Kaskel   +10 more
wiley   +1 more source

Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models [PDF]

The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March 2008.
Sabrina Khanniche
core  

Structural Aspects of Lithium‐Ion Conduction in the Phosphidotitanate Li8TiP4 and Its Comparison With Li7+5xTa1−xP4 and Li8−xTi1−xTaxP4

Chemistry – A European Journal, EarlyView.
ABSTRACT The chemical system Li/Ti/P has previously been subject to intensive investigation. However, reliable structural data for the reported phases have remained elusive. Motivated by the growing interest in phosphorus‐based lithium‐ion conductors, we have reinvestigated the synthesis, crystal structure, and physical properties of Li8TiP4.
David Müller, Tobias Kutsch, Sabine Zeitz, Viktor Hlukhyy, Gabriele Raudaschl‐Sieber, Wilhelm Klein, Thomas F. Fässler   +6 more
wiley   +1 more source

Contemporaneous Aggregation of GARCH Processes [PDF]

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on the cross ...
Paolo Zaffaroni
core  

Process Modeling for Propylene Polymerization to Transfer Reaction Kinetics From Lab to Plant

Chemie Ingenieur Technik, EarlyView.
The modeling approach combines an industrial model for a fourth‐generation Ziegler–Natta catalyst with lab‐scale derived kinetics of a novel fifth‐generation catalyst. By transferring intrinsic kinetics across scales, polypropylene production can be predicted. Accurate melt flow rate prediction is only obtained with an additional adjustment.
Anna Konopka, Matthias Feigel, Johanna Fernengel, Maximilian Dochnahl, Richard W. Fischer, Olaf Hinrichsen   +5 more
wiley   +1 more source

A general multivariate threshold GARCH model with dynamic conditional correlations [PDF]

We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilities and correlations.
Fabio Trojani, Francesco Audrino
core