Results 131 to 140 of about 18,304 (313)
Marginalization and contemporaneous aggregation in multivariate GARCH processes [PDF]
, 1996 Theo Nijman, Enrique Sentana
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ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns [PDF]
arXiv, 2008 ARCH and GARCH models assume either i.i.d. or (what economists lable as) white noise as is usual in regression analysis while assuming memory in a conditional mean square fluctuation with stationary increments. We will show that ARCH/GARCH is inconsistent with uncorrelated increments, violating the i.i.d.
arxiv
BayesDccGarch - An Implementation of Multivariate GARCH DCC Models [PDF]
arXiv, 2014 Multivariate GARCH models are important tools to describe the dynamics of multivariate times series of financial returns. Nevertheless, these models have been much less used in practice due to the lack of reliable software. This paper describes the {\tt R} package {\bf BayesDccGarch} which was developed to implement recently proposed inference ...
arxiv
Angewandte Chemie International Edition, Accepted Article.We herein report the influence of the ligand framework on the isoselective ring‐opening polymerization (ROP) of rac‐β‐butyrolactone using highly active in situ generated salan [ONNO]H2 and salalen [ONNO]H rare‐earth metal complexes. The stereochemistry was found to be highly dependent on the ortho‐substituents, enabling the synthesis of either ...
Stefanie Hörl +4 more
wiley +1 more source
GARCH-extended models: theoretical properties and applications [PDF]
arXiv, 2013 This paper is concerned with some properties of the generalized GARCH models, obtained by extending GARCH models with exogenous variables, the so-called GARCH extended (GARCHX) models. For these, we establish sufficient conditions for some properties such as stationarity, existence of moments, ergodicity, geometric ergodicity, consistence and ...
arxiv
Fabrication of Cobalt Oxide‐Block Copolymer Nanostructured Hybrid Films via a Mixed Solvent System
Journal of Applied Polymer Science, EarlyView.ABSTRACT The synthesized cobalt oxide (CoO) nanosheets embedded within a polymer matrix hold significant potential for applications in sensors, organic electronics, catalysis, organic photovoltaics, and energy storage devices. Using a facile and efficient preparation technique, we combine an organometallic cobalt(II) precursor, a polystyrene‐block ...
Ezzeldin Metwalli +3 more
wiley +1 more source
ESTIMATING WEAK GARCH REPRESENTATIONS [PDF]
, 2000 Christian Francq, Jean‐Michel Zakoïan
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From GARCH to Neural Network for Volatility Forecast [PDF]
arXivVolatility, as a measure of uncertainty, plays a crucial role in numerous financial activities such as risk management. The Econometrics and Machine Learning communities have developed two distinct approaches for financial volatility forecasting: the stochastic approach and the neural network (NN) approach.
arxiv
Bayesian inference for latent factor GARCH models [PDF]
arXiv, 2015 Latent factor GARCH models are difficult to estimate using Bayesian methods because standard Markov chain Monte Carlo samplers produce slowly mixing and inefficient draws from the posterior distributions of the model parameters. This paper describes how to apply the particle Gibbs algorithm to estimate factor GARCH models efficiently.
arxiv
, 1999 Research Report / Seminar für Statistik and Department of Mathematics, Eidgenössische Technische Hochschule (ETH ...
Bühlmann, Peter, McNeil, Alexander J.
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