Estimación de modelos de volatilidad en series de rendimientos bursátiles: 2000-2014
Pensamiento Crítico, 2015 Las series temporales de alta frecuencia observadas en los mercados financieros y cambiarios se caracterizan por ser asimétricas, leptocúrticas, agrupamiento de la volatilidad, mostrar una elevada persistencia en volatilidad, correlaciones en los ...
Rafael Bustamante Romaní
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A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
, 2008 We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
García-Ferrer, Antonio +2 more
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Análisis de la volatilidad accionaria en Latinoamérica
Fórum Empresarial, 2005 En la medida que las economías se van abriendo al mundo se vuelven más vulnerables a las crisis económicas de otros países. A este fenómeno se le denomina contagio.
Carlos Díaz Contreras +1 more
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Price discovery in the cryptocurrency option market: A univariate GARCH approach
Cogent Economics & Finance, 2020 In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX).
Pierre J. Venter +2 more
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BONDS AND SUKUK MARKETS UNDER COVID 19: AN EMPIRICAL STUDY OF EMERGING MARKETS
Buletin Ekonomi Moneter dan Perbankan, 2023 The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to determine the dynamic behavior of fixed-income return volatility.
Nevi Danila
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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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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
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Peramalan Harga Saham Syariah Pt. Unilever Indonesia Tbk Menggunakan Garch
Krigan, 2023 Tujuan dari penelitian ini untuk mengetahui perbandingan model peramalan dalam meramalkan harga saham PT. Unilever Indonesia Tbk. Pada penelitian ini terdapat 2 model peramalan yaitu peramalan ARIMA dan GARCH.
Didik Gunawan
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A Continuous Time GARCH Process Driven by a Lévy Process: Stationarity and Second Order Behaviour [PDF]
, 2005 We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, tosuggest an extension of the (G)ARCH concept to continuous time processes.
Klüppelberg, Claudia +2 more
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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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