Results 31 to 40 of about 4,908 (260)
EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET
Tạp chí Khoa học Đại học Đà Lạt, 2017 Using a regression model of the cross-sectional dispersion in stock returns, this study investigates investor herding behavior in Vietnamese stock market spanning the period from June 01, 2007 to November 30, 2015.
Đoàn Anh Tuấn, Hoàng Mai Phương
doaj +1 more source
ANALYSIS OF INTEGRATION AND PRICE EFFICIENCY: A CASE OF INDONESIAN COCOA BEANS EXPORT MARKET
AGRISE, 2020 In international trade, two market are spatially integrated when the price of one commodity traded continuously and has same price movement after adjusting the exchange rate and transaction cost.
Imama Nurus Izaati +2 more
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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
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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
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Modeling of Returns Volatility using GARCH(1,1) Model under Tukey Transformations
Jurnal Akuntansi dan Keuangan, 2019 This study proposed two new classes of GARCH(1,1) model by applying the Tukeytransformations to the returns and to the lagged variance. The behavior of return volatility was investigated on the basis of models with normal and Student-t distributions for ...
Didit Budi Nugroho +3 more
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Multivariate GARCH Models: A Survey [PDF]
SSRN Electronic Journal, 2003 AbstractThis paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.
BAUWENS, Luc +2 more
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The Influence of Oil Price on Renewable Energy Stock Prices: An Analysis for Entrepreneurs
Studia Universitatis Vasile Goldis Arad, Seria Stiinte Economice, 2020 This study investigates the relationship between oil price fluctuations and renewable energy stock returns using daily data on Brent crude oil prices and global renewable energy stock market indices between 29 November 2010 and 18 February 2020.
Vrînceanu Georgiana +3 more
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Prominent Movement Disorders in RNU2‐2‐Related Spliceosomopathy
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Pediatric movement disorders often overlap with neurodevelopmental diseases, suggesting shared molecular mechanisms. Variants in small nuclear RNA (snRNA) genes encoding spliceosome components have recently been associated with neurodevelopmental disorders, termed “RNUopathies.” We analyzed genome sequencing data from 14 patients with ...
Magdalena Krygier +6 more
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Regime Switching GARCH Models [PDF]
SSRN Electronic Journal, 2006 We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for stationarity and existence of moments.
Luc, BAUWENS +2 more
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Phase Field Failure Modeling: Brittle‐Ductile Dual‐Phase Microstructures under Compressive Loading
Advanced Engineering Materials, EarlyView.The approach by Amor and the approach by Miehe and Zhang for asymmetric damage behavior in the phase field method for fracture are compared regarding their fitness for microcrack‐based failure modeling. The comparison is performed for the case of a dual‐phase microstructure with a brittle and a ductile constituent.
Jakob Huber, Jan Torgersen, Ewald Werner
wiley +1 more source