Results 161 to 170 of about 13,808,600 (300)

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

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
core  

Nasal Epithelial Immune Signatures Are Associated With Age‐Dependent Asthma Trajectories in Early Life

Allergy, EarlyView.
Nasal epithelial transcriptomics identified three cytokine‐associated epithelial immune programs linked to childhood asthma phenotypes. Age‐associated epithelial polarization shifted from IFN/type‐17‐associated toward type‐2‐associated programs after 3 years of age.
Constanze A. Jakwerth, Sabina Illi, Helen Charles, Madlen Oelsner, Amr A. Gabr, Ulrich M. Zissler, Anna Erb, Martin Feuerherd, Felix Drost, Maren Büttner, Benjamin Schubert, Nicole Maison, Jimmy Omony, Markus Weckmann, Ruth Grychtol, Anna‐Maria Dittrich, Svenja Foth, Chrysanthi Skevaki, Tobias Trojan, Silke van Koningsbruggen‐Rietschel, Gesine Hansen, Thomas Bahmer, Klaus F. Rabe, Folke Brinkmann, Matthias Volkmar Kopp, Ulrike Protzer, Adam M. Chaker, Bianca Schaub, Erika von Mutius, Carsten B. Schmidt‐Weber, the ALLIANCE Study Group as part of the German Center for Lung Research (DZL), Mira Bürk, Sybille Contento, Markus Ege, Kristina Gottschau, Silvia Gschwendtner, Alexander Hose, Lena Lagally, Michael Schloter, Lena Ullemeyer, Esther Zeitlmann, Mustafa Abdo, Heike Biller, Karoline I. Gaede, Clara Haug, Nikolas Jacobs, Anne‐Marie Kirsten, Inke R. König, Lea Kronziel, Gyde Nissen, Frauke Pedersen, Loana Pennerd, Isabell Ricklefs, Vera Veith, Henrik Watz, Marie Bickes, Mifflin‐Rae Calvero, David S. DeLuca, Svenja Gaedcke, Anika Habener, Christine Happle, Adan Chari Jirmo, Bin Liu, Lennart Riemann, Nicolaus Schwerk, Inga Jerrentrup, Harald Renz, Stefanie Weber, Miguel A. Alejandre Alcazar, Samira Blau, Ernst Rietschel, Jan‐Christoph Thomassen   +71 more
wiley   +1 more source

Asymptotic Theory for a Vector ARMA-GARCH Model, [PDF]

This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established.
Michael McAleer, Shiqing Ling
core  

Pathogenicity of NUSAP1 Variants Is Defined by NMD‐Escape: Evidence From Two Novel Cases and Systematic Population‐Based Variant Analysis

Clinical Genetics, EarlyView.
Heterozygous de novo nonsense variants in the penultimate and last exons of NUSAP1 were identified in two unrelated individuals, predicted to escape NMD. In population data, nonsense variants were observed in exons 1–9 (of 11) in NUSAP1 but were absent from its 3′‐terminal region.
Maureen Jacob, Susann Badmann, Stefania Bigoni, Maria Iascone, Ilaria Vivaldi, Katharina Mayerhanser, Robert Kopajtich, Holger Prokisch, Cristina Forest, Sebastian Eck, Michael Zech, Elisabeth Graf, Matias Wagner, Juliane Winkelmann, Theresa Brunet, Melanie Brugger   +15 more
wiley   +1 more source

Outliers in Garch models and the estimation of risk measures [PDF]

In this paper we focus on the impact of additive level outliers on the calculation of risk measures, such as minimum capital risk requirements, and compare four alternatives of reducing these measures' estimation biases. The first three proposals proceed
Aurea Grané, Helena Veiga
core  

Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape

European Financial Management, EarlyView.
ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai, Manolis G. Kavussanos, Stergiani Moysiadou   +2 more
wiley   +1 more source

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

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