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Early warning of regime switching in a financial time series: A heteroskedastic network model. [PDF]

PLoS One
Wang L, An S, Dong Z, Dong X, Li J.
europepmc   +1 more source

Perception and Prediction of Factors Influencing Carbon Price: Multisource, Spatiotemporal, Hierarchical Federated Learning Framework with Cross-Modal Feature Fusion. [PDF]

Sensors (Basel)
Wang P, Zhou X.
europepmc   +1 more source

Intelligent financial forecasting using transformers, neuro-symbolic AI, and agent-based systems. [PDF]

Sci Rep
Jeyajeev V, Kannan RJ, Deebalakshmi R, Rajagopal BG, Jeyakrishnan V, Abbas M, Kalathil S.   +6 more
europepmc   +1 more source

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THE GARCH OPTION PRICING MODEL

Mathematical Finance, 1995
This article develops an option pricing model and its corresponding delta formula in the context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return process. the development utilizes the locally risk‐neutral valuation relationship (LRNVR).
Jin-Chuan Duan
exaly   +3 more sources

Evaluating GARCH models [PDF]

Journal of Econometrics, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stefan Lundbergh, Timo Teräsvirta
openaire   +2 more sources

ON MIXTURE MEMORY GARCH MODELS

Journal of Time Series Analysis, 2013
We propose a new volatility model, which is called the mixture memory generalized autoregressive conditional heteroskedasticity (MM‐GARCH) model. The MM‐GARCH model has two mixture components, of which one is a short‐memory GARCH and the other is the long‐memory fractionally integrated GARCH.
Li, M, Li, WK, Li, G
openaire   +4 more sources

A multivariate skew-garch model

2005
Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news.
DE LUCA, GIOVANNI, LOPERFIDO N, GENTON M.   +2 more
openaire   +3 more sources

A tobit model with garch errors [PDF]

Econometric Reviews, 1998
In the context of time series regression, we extend the standard Tobit model to allow for the possibility of conditional heteroskedastic error processes of the GARCH type. We discuss the likelihood function of the Tobit model in the presence of conditionally heteroskedastic errors.
CALZOLARI, GIORGIO, FIORENTINI, GABRIELE
openaire   +2 more sources

GARCH-type factor model

Journal of Multivariate Analysis, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yuanbo Li, Chi Tim Ng, Chun Yip Yau
openaire   +1 more source