Results 51 to 60 of about 72,454 (299)
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
doaj +1 more source
Dynamic Conditional Eigenvalue GARCH [PDF]
SSRN Electronic Journal, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rahbek, Anders +2 more
openaire +4 more sources
Modeling the volatility of Bitcoin returns using Nonparametric GARCH models
Academic Finance, 2022 Objective: The purpose of this paper is to demonstrate the effectiveness of the nonparametric GARCH model for the prediction of future Bitcoin prices. Methodology: The parametric GARCH models to characterize the volatility of Bitcoin returns are ...
Sami MESTIRI
doaj +1 more source
Empirical Study of the GARCH model with Rational Errors
, 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
Chen, Ting Ting, Takaishi, Tetsuya
core +1 more source
Efficient Gibbs Sampling for Markov Switching GARCH Models [PDF]
, 2012 We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-move sampling techniques for Markov Switching (MS) state space models with
Billio, Monica +2 more
core +1 more source
Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution [PDF]
, 2012 Includes bibliographical references.This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution.
Mazviona, Batsirai Winmore
core
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
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
doaj +1 more source
Do fat tails matter in GARCH estimation? Testing market efficiency in two transition economies [PDF]
, 2007 The use of the GARCH-class of models is commonplace when examining stockmarket returns. In this paper we use data on stock markets in two transitioneconomies, the Czech Republic and Romania, to demonstrate the importance ofusing the correct GARCH ...
Harrison, B, Paton, D
core
Advanced Functional Materials, EarlyView.This study uncovers the unexplored role of intermolecular interactions in multiphoton absorption in coordination polymers. By analyzing [Zn2tpda(DMA)2(DMF)0.3], it shows how the electronic coupling of the chromophores and confinement in the MOF enhance two‐and three‐photon absorption.
Simon Nicolas Deger +11 more
wiley +1 more source