Results 91 to 100 of about 13,808,600 (300)
An integer GARCH model for a Poisson process with time-varying zero-inflation. [PDF]
PLoS One, 2023 Ratnayake IP, Samaranayake VA.
europepmc +1 more source
M-ESTIMATION IN GARCH MODELS [PDF]
Econometric Theory, 2008 This paper derives asymptotic normality of a class ofM-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator.
openaire +1 more source
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
Chemistry – A European Journal, EarlyView.The article describes the synthesis and molecular transformations of a silica‐supported bis(phosphine)methylplatinum(II) complex under reactive (H2, CO) and inert gas atmospheres. The focus lies on the stabilizing effect of the sterically non‐demanding trimethylphosphine ligand, which alters the reactivity of the surface sites, compared to other ...
Lea S. Kopietz +6 more
wiley +1 more source
GARCH Model IBM Stock Forecasting of Price Volatility
International Journal of Electronics and Communications SystemRisk and volatility are two related factors in research regarding capital markets. Many factors influence the movement of shares and indices. Volatility is common and affects risk assessment. Stock price volatility is an important aspect of understanding
Balqis Dwian Fitri Zamzami +5 more
doaj +1 more source
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +1 more source
Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility
Journal of Physics: Conference Series, 2019 Abstract Volatility plays an important role in the field of financial econometrics as one of the risk indicators. Many various models address the problem of modeling the volatilities of financial asset returns. This study provides a new empirical performance comparison of the four different GARCH-type models, namely GARCH, GARCH-M, GJR ...
D B Nugroho +5 more
openaire +1 more source
Chemistry – A European Journal, EarlyView.ESM‐RISM is applied to model electrochemical interfaces and benchmarked against Poisson–Boltzmann and molecular dynamics results. Density profiles, differential capacitance, and adsorption energetics at the gold–electrolyte interface are analyzed, highlighting the capabilities of this implicit electrolyte framework.
Alessandro Mangiameli +1 more
wiley +1 more source
Volatilitenin Modellenmesi: Nasdaq 100 Endeksi Örneği
Uluslararası Ekonomi, İşletme ve Politika DergisiBu çalışmada ABD’de teknoloji ağırlıklı firmalardan oluşan Nasdaq 100 endeksinin volatilitesinin tahmini ve modellenmesinin gerçekleştirilmesi amaçlanmaktadır.
Mehmet Erkan Soykan
doaj +1 more source
Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory [PDF]
Eastern Journal of European Studies, 2019 Small-cap stocks are characterized by high volatility and offer investors the opportunity to earn higher returns. This paper empirically investigates the impact of the day-of-the-week and the month-of-the year effects on the volatility of daily and ...
Mohamed CHIKHI +2 more
doaj