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Comparison Results for GARCH Processes [PDF]
Journal of Applied Probability, 2012 We consider the problem of stochastic comparison of general GARCH-like processes for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the GARCH process itself, and we discuss their interpretations. We focus on the convex order and show that in the case
F. Bellini +3 more
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Estimation and tests for power-transformed and threshold GARCH models [PDF]
, 2008 Consider a class of power transformed and threshold GARCH(p,q) (PTTGRACH(p,q)) model, which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa (2004) and includes the standard GARCH model and many other ...
Tong, H., Wang, H., Pan, J.
core +4 more sources
Time‐varying volatility modelling of Baltic stock markets
Journal of Business Economics and Management, 2010 As time‐varying volatility has found applications in roughly all time series modelling in economics, it largely draws attention in the areas of financial markets.
Bora Aktan +2 more
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Agraris: Journal of Agribusiness and Rural Development Research, 2022 Promoting the horticultural auction market as an alternative outlet is becoming more popular. The horticultural auction market has some benefits, such as reducing price volatility and controlling inflation.
Jamhari Jamhari +4 more
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A Copula-Garch Modelcopula-Garch Model [PDF]
Economic Research-Ekonomska Istraživanja, 2010 AbstractIn the present study we develop a new two-dimensional Copula-GARCH model. This type of two-dimensional process is characterized by a dependency structure modeled using a copula function. For the marginal densities we employ a GARCH(1,1) model with innovations drawn from a t-Student distribution.
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Temporal Aggregation of Garch Processes [PDF]
Econometrica, 1993 Abstract We derive low frequency, say weekly, models implied by high frequency, say daily, ARMA models with symmetric GARCH errors. Both stock and flow variable cases are considered. We show that low frequency models exhibit conditional heteroskedasticity of the GARCH form as well.
Drost, F.C., Nijman, T.E.
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The Study of long-Term Memory in Dynamic Volatility Relationship between Stock Returns and Exchange Rates [PDF]
Journal of Asset Management and Financing, 2018 Nowadays, the issue of how to choose an appropriate system of currency exchange can be considered as one the pivots of macroeconomic policies and, in turn, currency fluctuation turns to one of the most crucial concerns of each country’s foreign commerce.
dariush damoori, Negar Mirzad
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Quan hệ nhân quả giữa lạm phát và sự bất định lạm phát: Nghiên cứu tại một số nước Đông Nam Á
Tạp chí Khoa học Đại học Mở Thành phố Hồ Chí Minh - Kinh tế và Quản trị kinh doanh, 2023 Bài nghiên cứu có mục tiêu khám phá mối quan hệ nhân quả giữa lạm phát và sự bất định của lạm phát tại một số quốc gia Đông Nam Á. Số liệu sử dụng trong quá trình nghiên cứu được thu thập từ tháng 01 năm 2008 đến tháng 12 năm 2019.
Lê Thông Tiến +1 more
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ESTIMATING WEAK GARCH REPRESENTATIONS [PDF]
Econometric Theory, 2000 The classical definitions of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors.
Christian Francq, Jean-Michel Zakoïan
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Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH) [PDF]
Journal of Asset Management and Financing, 2018 During last decades, financial markets have witnessed large losses due to their exposure to unexpected market crash. Resulting in these financial disasters, financial institutions, regulators and academics have developed intensive research to provide ...
Hassan Karnameh haghighi, Ali Rostami
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