Results 81 to 90 of about 38,888 (250)
Multimodality in the GARCH Regression Model [PDF]
Several aspects of GARCH(p,q) models that are relevant for empirical applications are investigated. In particular, it is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
core
Catalytic Sulfur‐Atom Transfer Enabled by a Bis(disulfide) Titanium Complex
Angewandte Chemie International Edition, EarlyView.Multi‐electron transformations with titanium are underexplored due to limited access to low‐valent precursors. The four‐electron activation of elemental sulfur by a Ti(IV) complex yields a rare titanium bis(disulfide) complex, enabling the efficient catalytic synthesis of isothiocyanates from isonitriles under mild conditions.
Sebastian Samir Cremer +3 more
wiley +1 more source
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
A Multivariate Generalized Orthogonal Factor GARCH Model [PDF]
The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector.
Saikkonen, Pentti, Lanne, Markku
core
Investigation of Stray‐Light Patterns in the eROSITA X‐Ray Cameras
Astronomische Nachrichten, EarlyView.ABSTRACT eROSITA (extended ROentgen Survey with an Imaging Telescope Array) is the soft X‐ray instrument aboard the Spectrum‐Roentgen‐Gamma (SRG) mission, developed under the responsibility of the Max Planck Institute for Extraterrestrial Physics (MPE).
Veronika Stieglitz +4 more
wiley +1 more source
Outlier detection in GARCH models [PDF]
, 2005 We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier.
Jurgen A. Doornik, Marius Ooms
openaire +5 more sources
Garch Parameter Estimation Using High-Frequency Data [PDF]
Estimation of the parameters of Garch models for financial data is typically based on daily close-to-close returns. This paper shows that the efficiency of the parameter estimators may be greatly improved by using volatility proxies based on intraday ...
Visser, Marcel P.
core
Biotechnology and Bioengineering, EarlyView.ABSTRACT Single‐stranded DNA (ssDNA) solutions are promising innovations shaping the future of genetic research and medical therapies. In principle, biotechnological mass production of ssDNA can be achieved using Escherichia coli in a high‐cell density fed‐batch process by secreting phagemid particles derived from the filamentous M13 bacteriophages ...
Nathalie Hafner +4 more
wiley +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
Do Commodity Prices and Energy Markets Drive Asymmetric Volatility in Biodiversity Finance?
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines symmetric and asymmetric volatility spillovers among biodiversity finance, commodity prices, and energy markets using daily data from 2019 to 2025. We apply the Diebold–Yilmaz time–domain connectedness model, Baruník–Křehlík frequency–domain decomposition, and an asymmetric spillover framework.
Ijaz Younis +4 more
wiley +1 more source