Results 11 to 20 of about 72,454 (299)
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Risks, 2023 Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility.
Rhenan G. S. Queiroz, Sergio A. David
doaj +1 more source
Closing the GARCH gap: Continuous time GARCH modeling [PDF]
Journal of Econometrics, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Werker, B.J.M., Drost, F.C.
openaire +8 more sources
Modeling Exchange Rate Volatility in Türkiye: An Empirical Research
İktisat Politikası Araştırmaları Dergisi, 2023 Exchange rate volatility is a concept that corresponds to the fluctuations around the equilibrium value of the exchange rate and is the main source of exchange rate risk as it adversely affects many variables that can disrupt macroeconomic stability ...
Sinem Kutlu Horvath +1 more
doaj +1 more source
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 Este trabajo analiza la relación entre la volatilidad del precio del petróleo y rendimientos bursátiles sectoriales seleccionados en México (Industrial, materiales, financiero y de consumo discrecional) a través de la implementación de un modelo GARCH ...
Rodrigo A. Morales Fernández Rafaelly +1 more
doaj +1 more source
Pro forma modeling of cryptocurrency returns, volatilities, linkages and portfolio characteristics
China Accounting and Finance Review, 2023 Critics say cryptocurrencies are hard to predict and lack both economic value and accounting standards, while supporters argue they are revolutionary financial technology and a new asset class.
Rama K. Malladi
doaj +1 more source
Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Silvennoinen, Annastiina +1 more
openaire +5 more sources
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
doaj +1 more source