Results 11 to 20 of about 42,233 (256)
Forecasting gains by using extreme value theory with realised GARCH filter
IIMB Management Review, 2021 Early empirical evidence suggests that the realised generalised autoregressive conditional heteroskedasticity (GARCH) model provides significant forecasting gains over the standard GARCH models in volatility forecasting.
Samit Paul, Prateek Sharma
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Reviews of Management Sciences, 2022 Purpose: The purpose of this paper is to predict the volatility of the KSE-100 index using econometric and machine learning models. It also designs hybrid models for volatility forecasting by combining these two models in three different ways ...
Komal Batool +2 more
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Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets [PDF]
Journal of Economics Finance and Administrative Science, 2021 Purpose – This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods.
Ramona Serrano Bautista +1 more
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Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
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Exploring the Effectiveness of ARIMA and GARCH Models in Stock Price Forecasting: An Application in the IT Industry [PDF]
Informatică economică, 2023 his study aims to develop a predictive model for stock prices using time-series analysis. The primary objective is to identify volatility patterns through the implementation of the GARCH model and forecast future stock prices for Microsoft company ...
Lavinia Roxana TOMA
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Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
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An exceptional localization of hydatidosis
PAMJ Clinical Medicine, 2020 A 48-years-old woman, presenting a huge mass of the posterior surface of the thigh, fixed on the deep and superficial planes, evolving for 1 year. The patient has no particular pathological history, and no other signs were noted, including neither weight´
Oussama Eladaoui, Abdelhak Garch
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Extreme Value Theory and Value at Risk: Application to OPEC Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2019 Regarding the role of the energy market, especially oil, on the economy of countries, it is important to identify the future evolution of the market. In this respect, predicting the changeable extreme evolution of the oil price is crucial for decision ...
mahtab mehrasa, Teymour Mohamadi
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Carpo-metacarpal dislocation treatment
PAMJ Clinical Medicine, 2020 We report the case of a young patient of 24 years, motorcyclist, victim of road accident, causing a closed trauma of the right wrist, the examination on admission finds a swollen, painful hand without vascular-nervous disorders, or compartment syndrome ...
Oussama Eladaoui, Abdelhak Garch
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Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method [PDF]
تحقیقات مالی, 2014 Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management.
Saeed Fallahpour, Ehsan Ahmadi
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