Results 71 to 80 of about 42,233 (256)
Does Exchange Rate Uncertainty Effects Exports? A Disaggregated Study of Pakistan Economy [PDF]
International Journal of Management, Accounting and Economics, 2016 This study has been conducted to find out the effect of exchange rate uncertainty on the export volume of Pakistan to its major trading partner countries.
Muhammad Shoaib +3 more
doaj
Regime switching GARCH models [PDF]
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.
Luc, BAUWENS +2 more
core
Domestic and External Drivers of Brazilian Pork Price Volatility Under Russian Trade Policies
Agribusiness, EarlyView.ABSTRACT This study investigates how Russian trade policies and domestic factors influence the volatility of Brazilian live swine prices from 2004 to 2019. We employ a DCC‐MGARCH framework, along with volatility impulse‐response functions and the connectedness approach, to analyze time‐varying co‐movement and dynamic volatility spillovers across pork ...
Gabriel Rosero +2 more
wiley +1 more source
Wake me up before you GO-GARCH [PDF]
In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002).
Boswijk, H.P., Weide, R. van der
core
Thermally Drawn Bioelectric Catheters: Enabling Proprioceptive Endovascular Navigation
Advanced Intelligent Systems, EarlyView.This work introduces a novel bioelectric navigation system eliminates the need for harmful fluoroscopy during endovascular surgeries. A bespoke 16‐electrode catheter is fabricated using rapid thermal drawing and laser micro‐machining. Paired with a real‐time tracking algorithm fusing vascular geometry detection and distance estimation, this technology ...
Alex Ranne +8 more
wiley +1 more source
Forecasting the time-varying beta of UK firms: GARCH models vs Kalman filter method
, 2007 This paper forecast the weekly time-varying beta of 20 UK firms by means of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model.
Wu, Hao, Choudhry, Taufiq
core +1 more source
Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?
Risks, 2019 The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally ...
Xiaoyi Shen +2 more
doaj +1 more source
Symmetric Normal Mixture GARCH [PDF]
Normal mixture (NM) GARCH models are better able to account for leptokurtosis in financial data and offer a more intuitive and tractable framework for risk analysis and option pricing than student’s t-GARCH models.
Emese Lazar, Carol Alexandra
core
BİST 100 VE KURUMSAL YÖNETİM ENDEKSİ VOLATİLİTELERİNİN KARŞILAŞTIRMALI ANALİZİ
Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2015 Kurumsal yönetim ilkelerini benimseyen ve uygulayan firmaların hisse senetlerinden oluşan Kurumsal Yönetim Endeksi’nin volatilitesinin ulusal gösterge endeksi olan BİST 100 Endeksinin volatilitesine göre daha düşük olup olmadığını sınamak amacıyla; ARCH,
Mehmet Öncü +2 more
doaj
, 2007 This paper investigates the forecasting ability of four different GARCH models and the Kalman filtermethod. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJRand the GARCH-X model. The paper also compares the forecasting ability
Wu, Hao, Choudhry, Taufiq
core +1 more source