Results 31 to 40 of about 18,304 (313)
AIMS Energy, 2023 This research explores the spillover effects in the directional movement of returns and the persistence of shocks among three prominent energy spot markets: b transfer facility for natural gas, Brent crude oil and electricity markets from monthly price ...
Gustavo Soutinho +2 more
doaj +1 more source
Augmented GARCH sequences: Dependence structure and asymptotics [PDF]
Bernoulli 2008, Vol. 14, No. 2, 543-561, 2008 The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH, asymmetric GARCH, etc. In this paper, we study the probabilistic structure of augmented $\mathrm {GARCH}(1,1)$
arxiv +1 more source
Angewandte Chemie International Edition, Volume 62, Issue 3, January 16, 2023., 2023 The confined hydronium ions in zeolite create an intraporous ionic environment, which increases acid‐catalyzed reaction rates in a volcanic pattern at both saturated and low concentrations of substrates in the pores. Abstract The intracrystalline ionic environment in microporous zeolite can remarkably modify the excess chemical potential of adsorbed ...
Qiang Liu +5 more
wiley +1 more source
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
Risk-neutral option pricing under GARCH intensity model [PDF]
International Journal of Pure and Applied Mathematics, 114, pp.
619-638, 2017, 2019 The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volatility clustering, leverage effect and conditional asymmetry. The GARCH intensity option pricing model has flexibility in changing the volatility according to the probability ...
arxiv +1 more source
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
openaire +9 more sources
ESG Volatility Prediction Using GARCH and LSTM Models
Financial Internet Quarterly, 2023 This study aims to predict the ESG (environmental, social, and governance) return volatility based on ESG index data from 26 October 2017 and 31 March 2023 in the case of India.
Mishra Akshay Kumar +2 more
doaj +1 more source
Evolution of bitcoin as a Financial Asset
Финансы: теория и практика, 2021 The cryptocurrency market debate resumed in 2020 with renewed vigour as the price of Bitcoin surpassed late 2017 highs. This study aims to analyse possible factors of Bitcoin’s pricing at various cryptocurrency market development stages — before the 2017
K. D. Shilov, A. V. Zubarev
doaj +1 more source
Empirical Study of the GARCH model with Rational Errors [PDF]
Journal of Physics: Conference Series 454 (2013) 012040, 2013 We use the GARCH model with a fat-tailed error distribution described by a rational function and apply it for the stock price data on the Tokyo Stock Exchange. To determine the model parameters we perform the Bayesian inference to the model. The Bayesian inference is implemented by the Metropolis-Hastings algorithm with an adaptive multi-dimensional ...
arxiv +1 more source
Stable Mixture GARCH Models [PDF]
SSRN Electronic Journal, 2011 A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its special cases.
Markus Haas +5 more
openaire +6 more sources