Results 111 to 120 of about 15,849 (295)

An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading [PDF]

Oscar V. De la Torre-Torres, José Álvarez‐García, María de la Cruz del Río‐Rama   +2 more
openalex   +1 more source

Model Exponential GARCH (EGARCH) Untuk Memprediksi Harga Saham PT Merdeka Copper Gold Tbk

, 2023
Agnes Eunike Sangian, Nelson Nainggolan, Deiby T Salaki   +2 more
openalex   +2 more sources

Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches

Emerging Science Journal
This research paper presents a comprehensive analysis of three prominent volatility and dependence models for financial time series: ARMA-GARCH, GARCH-EVT, and DCC-GARCH. These models are employed to assess and forecast capital requirements for life and non-life insurer investments.
Thitivadee Chaiyawat, Pannarat Guayjarernpanishk   +1 more
openaire   +2 more sources

Herding and Anti‐Herding Behaviour in the UK, French and German Stock Markets Before and During the Covid Pandemic

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper studies herding and anti‐herding behaviour in three European stock markets before and during the Covid‐19 pandemic by employing both static and dynamic analysis. We examine four different questions related to herding behaviour: (i) Did herding behaviour increase during the pandemic? (ii) Does herding behaviour respond differently in
Dimitrios Asteriou, Paraskevi Katsiampa, Keith Pilbeam, Alexander Tziamalis   +3 more
wiley   +1 more source

Climate Change Laws and European Stock Markets: An Event Analysis

International Journal of Finance &Economics, EarlyView.
ABSTRACT Under the context of the climate change we assess the impact of EU's legislative initiative on European stock markets. Specifically, we focus on its impact on energy and Environmental Social Governance (ESG) sectors for equity returns and volatility for a representative basket of EU countries (participating also in Eurozone) as well as ...
Theodoros Bratis, Georgios P. Kouretas, Evangelos Salachas   +2 more
wiley   +1 more source

Risk Analysis of Shanghai Inter-Bank Offered Rate - A GARCH-VaR Approach

, 2017
Maoguo Wu, Zeyang Li
openalex   +2 more sources

Core‐shell structure induced surface reconstruction of PbS quantum dots toward high‐detectivity short‐wave infrared photodetectors

InfoScience, EarlyView.
We present a core‐shell structure‐induced surface reconstruction treatment for PbS quantum dots (QDs). Highly detective photodetectors and imagers in the short‐wave infrared region are demonstrated based on the surface‐reconstructed QDs with reduced dark current density and improved QD stacking configuration, as shown by grazing‐incidence small‐angle X‐
Fan Fang, Huaying Zhong, Junjie Hao, Simin Chen, Shuo Cheng, Tao Cao, Haibo Zhu, Yihong Tang, Guangjiu Pan, Kun Sun, Haodong Tang, Peter Müller‐Buschbaum, Wei Chen   +12 more
wiley   +1 more source

Valor em Risco (VaR) utilizando modelos de previsão de volatilidade: EWMA, GARCH e Volatilidade Estocástica

BBR: Brazilian Business Review, 2007
Este artigo explora três modelos utilizados para a estimativa da volatilidade: suavização exponencial - EWMA, volatilidade condicional - GARCH e volatilidade estocástica - VE. A volatilidade estimada por estes modelos pode ser utilizada em uma métrica de
Fernando Caio Galdi, Leonel Molero Pereira   +1 more
doaj  

Elucidating the origin of open‐circuit voltage in ternary organic solar cells with a nonfullerene and a fullerene acceptor

InfoMat, EarlyView.
Fullerenes tend to alloy with polymer:nonfullerene acceptor hosts, yielding composition‐dependent increases in open‐circuit voltage while recombination remains governed by the charge‐transfer state energy and is independent of the nature of the third component.
Dominic Blätte, Marcella Günther, Carlito S. Ponseca Jr., Andreas Weis, Rik Hooijer, Lucie Quincke, Miguel A. T. Cachafeiro, Wolfgang Tress, Jose D. Perea, Salvador Leon, Ali Shuaib, Pavel Chabera, Tönu Pullerits, Thomas Bein, Tayebeh Ameri   +14 more
wiley   +1 more source

Modeling USD/KES Exchange Rate Volatility using GARCH Models

, 2017
Cyprian Ondieki Omari, Peter N. Mwita, Antony G. Waititu   +2 more
openalex   +1 more source