Results 181 to 190 of about 15,849 (295)

Revisiting the Role of Technology in the US Equity REITs-Climate Change Nexus: The GARCH-MIDAS Approach [PDF]

Oluwaseun T. Ajayi, Kazeem O. Isah
openalex   +1 more source

Time‐Varying Dispersion Integer‐Valued GARCH Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT We introduce a general class of INteger‐valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing simultaneously time‐varying mean and dispersion parameters. We call such models time‐varying dispersion INGARCH (tv‐DINGARCH) models.
Wagner Barreto‐Souza, Luiza S. C. Piancastelli, Konstantinos Fokianos, Hernando Ombao   +3 more
wiley   +1 more source

On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models. [PDF]

PLoS One
Manzli YS, Fakhfekh M, Béjaoui A, Alnafisah H, Jeribi A.   +4 more
europepmc   +1 more source

RISIKO PASAR: PERBANDINGAN MODEL EWMA DAN GARCH PADA NILAI TUKAR RUPIAH TERHADAP US DOLLAR

, 2010
Ari Christianti
openalex   +1 more source

Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients

Journal of Time Series Analysis, EarlyView.
ABSTRACT The problem of selecting the smoothing parameter, or bandwidth, for kernel‐based estimators of time‐varying coefficients in linear models with possibly endogenous explanatory variables is considered. We examine automated bandwidth selection by means of cross‐validation, a nonparametric variant of Akaike's information criterion, and bootstrap ...
Charisios Grivas, Zacharias Psaradakis
wiley   +1 more source

Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models. [PDF]

PLoS One
Zou Y, Xu J, Chen Y.
europepmc   +1 more source

Risk measurement of global stock markets: a factor copula-based GJR-GARCH approach

, 2019
Quanrui Song, Jianxu Liu, Songsak Sriboonchitta   +2 more
openalex   +1 more source

Tensor Changepoint Detection and Eigenbootstrap

Journal of Time Series Analysis, EarlyView.
ABSTRACT Tensor data consisting of multivariate outcomes over the items and across the subjects with longitudinal and cross‐sectional dependence are considered. A completely distribution‐free and tweaking‐parameter‐free detection procedure for changepoints at different locations is designed, which does not require training data.
Michal Pešta, Barbora Peštová, Martin Romaňák   +2 more
wiley   +1 more source

Temporal trends and forecasting of respiratory mortality in Bangladesh: A SARIMA model for seasonal mortality risk and public health action. [PDF]

J Public Health Res
Hasan P, Khan TD, Abedin M, Haque ME.
europepmc   +1 more source

Multivariate Variance Targeting in the BEKK-GARCH Model

, 2012
Rasmus Søndergaard Pedersen, Anders Rahbek   +1 more
openalex   +1 more source