Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. [PDF]
Resour Policy, 2022 Yıldırım DÇ, Esen Ö, Ertuğrul HM.
europepmc +1 more source
Improved Conservative Scheme for Lenard‐Bernstein Collisions in Gyrokinetic Turbulence Simulations
Contributions to Plasma Physics, EarlyView.ABSTRACT Turbulence in the edge and scrape‐off layer regions plays a critical role for the performance of future magnetic confinement fusion power plants. Gyrokinetic simulations allow studying this regime with high fidelity. A key aspect in these regions is the high concentration of impurities, which can radiate energy, leading to significant losses ...
Andrew Ivan Sulimro +3 more
wiley +1 more source
Accurate value-at-risk forecast with the (good) old normal-GARCH model [PDF]
, 2006 A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Hartz, Christoph +2 more
core
How Multiple Streams Influence Agenda‐Setting for Water Reuse in Swiss Substates
Environmental Policy and Governance, EarlyView.ABSTRACT As climate change creates significant challenges for both the environment and society, potential mitigation and adaptation solutions are widely discussed. Yet, neither challenges nor their potential solutions automatically reach the political agenda or lead to a policy decision.
Magdalena A. Knabl +4 more
wiley +1 more source
The impact of crude oil prices on Chinese stock markets and selected sectors: evidence from the VAR-DCC-GARCH model. [PDF]
Environ Sci Pollut Res Int, 2022 Hashmi SM, Ahmed F, Alhayki Z, Syed AA.
europepmc +1 more source
A multivariate realized GARCH model
Journal of EconometricsWe propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the use of factor models for correlations.
Archakov, Ilya +2 more
openaire +2 more sources
The Continuous Limit of GARCH Processess [PDF]
Contrary to popular belief, the diffusion limit of a GARCH variance process is not a diffusion model unless one makes a very specific assumption that cannot be generalized.
Emese Lazar, Carol Alexandra
core
Predicting EU Emissions Allowance Prices Using Macroeconomic Indicators and Hybrid AI Models
Journal of Forecasting, EarlyView.ABSTRACT Predicting carbon allowance prices has grown more crucial in relation to carbon market regulation, financial strategy, and environmental policy development. This study examines a hybrid forecasting system that combines deep learning with ensemble machine learning models to forecast the price fluctuations of EU Emissions Allowance (EUAs) within
Saptarshi Ganguly +2 more
wiley +1 more source
Multimodality and the GARCH Likelihood [PDF]
We investigate several aspects of GARCH models which are relevant for empirical applications. In particular, we note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
core
Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model
Journal of Forecasting, EarlyView.ABSTRACT This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) model for analyzing the daily price ranges of financial assets. The proposed formulation assumes that the conditional expected range switches between two regimes, representing upward and downward market states, with the disturbance distribution also allowed ...
Isuru Ratnayake, V. A. Samaranayake
wiley +1 more source