Results 31 to 40 of about 38,888 (250)
Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India
Binus Business Review, 2010 Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets.
Martin Martin, Yunita Yunita
doaj +1 more source
PERFORMANCE OF THE ACCURACY OF FORECASTING THE CONSUMER PRICE INDEX USING THE GARCH AND ANN METHODS
Barekeng, 2023 The Consumer Price Index (CPI) is the most widely used indicator of the inflation rate. Then, the value of CPI in the future must be known to be the basis of the government's making appropriate and accurate policies.
Dian Kurniasari +3 more
doaj +1 more source
Theory and Inference for a Markov-Switching GARCH Model [PDF]
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity
Jeroen V.K. Rombouts +2 more
core +6 more sources
A COMPARISON OF ARCH MODELS: THE DETERMINANTS OF BITCOIN’S PRICE [PDF]
Akademičnij OglâdThe aim of this study is to determine the number of transactions among the currencies, which will eventually become a part of our lives, cannot be physically held, can move quickly, and emerge as a new shopping and investment tool in the changing world
Esin Demirel
doaj +1 more source
Jurnal Matematika Integratif, 2019 Investors having an understanding of investment statistics are important. Especially quantitative tools related to investment risk measurement. Value-at-Risk Adjusted is one of the investment risk measurement tools, which assumes that returns are not ...
F Sukono +4 more
doaj +1 more source
Journal of Business & Economic StatisticsWe introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional correlation matrix and in tail dependencies.
Chen Tong +2 more
openaire +2 more sources
Quipukamayoc, 2017 El estudio de la volatilidad de la rentabilidad de los mercados financieros internacionales y su incidencia en la rentabilidad de la Bolsa de Valores de Lima es muy importante para los agentes que toman parte en los mercados: Los inversionistas del ...
Pedro Pablo Chambi Condori
doaj +1 more source
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
Multivariate GARCH Models: A Survey [PDF]
Journal of Applied Econometrics, 2003 This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics.
Luc Bauwens +2 more
openaire +3 more sources
Advanced Engineering Materials, EarlyView.Building machine‐readable vocabularies for materials science is slow, expert‐driven work. This study benchmarks 13 large language models on two of its first steps: finding candidate terms in engineering articles and deciding where they belong in a class hierarchy.
Thomas Bjarsch +3 more
wiley +1 more source