Results 111 to 120 of about 14,449,980 (201)

Recurrent Neural Network GO-GARCH Model for Portfolio Selection. [PDF]

J Time Ser Econom
Burda M, Schroeder AK.
europepmc   +1 more source

The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence [PDF]

In this paper, we propose a nonlinear multivariate GARCH-M model. We have illustrated the actual modelling by applying the models to inflation and output growth variables and found that the effects of real and nominal uncertainties are regime-dependent ...
Tolga Omay
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Predicting coal workers' pneumoconiosis trends: Leveraging historical data with the GARCH model in a Chinese Miner Cohort. [PDF]

Medicine (Baltimore)
Sun P, Wang B, Zhang H, Xu M, Han L, Zhu B.   +5 more
europepmc   +1 more source

Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model [PDF]

In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in financial volatility as well as intermittent dynamics and excess of kurtosis.
Marcelo Cunha Medeiros, Alvaro Veiga
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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
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GARCH option pricing under skew. [PDF]

This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities.
Aboura, Sofiane
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Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models [PDF]

The performance of a proposed asymmetric-error GARCH model is evaluated in comparison to the normal-error- and Student-t-GARCH models through three applications involving forecasts of U.S. soybean, sorghum, and wheat prices.
Ramirez, Octavio A., Fadiga, Mohamadou L.   +1 more
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Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model. [PDF]

Sensors (Basel), 2018
Xin J, Zhou J, Yang SX, Li X, Wang Y.
europepmc   +1 more source

Parameter estimation in nonlinear AR–GARCH models [PDF]

This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a general ...
Mika Meitz, Pentti Saikkonen
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