Results 31 to 40 of about 14,449,980 (201)
Stock Market Risk Measurement Method Based on Improved Genetic Algorithm
Chemical Engineering Transactions, 2016 In this paper, we concentrate on the problem of stock market risk measurement, which is of great importance for the healthy development of the stock market.
B.Q. Zhang
doaj +1 more source
Negative volatility spillovers in the unrestricted ECCC-GARCH model [PDF]
, 2010 Copyright @ 2010 Cambridge University Press.This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model that allows for volatility feedback of either the positive or negative sign.
Karanasos, Menelaos +3 more
core +1 more source
FORECASTING EXTREME MARKET MOVEMENTS USING REALIZED GARCH AND EXTREME VALUE THEORY MODELS
Reliability: Theory & ApplicationsThis study investigates the essential benefits of using the Conditional Value-at-Risk (CVaR) optimization framework with the GARCH model and Extreme Value Theory (EVT) methods for the S&P CNX NIFTY markets. Using daily data from Jan.
Umme Hani
doaj +1 more source
Structural nonlinear damage identification using penalty conversion index of GARCH model
Advances in Mechanical Engineering, 2020 In the service period, some engineering structures may have cracks or other nonlinear damages. The nonlinear damages are the major influence to the safety of engineering structures, which should be detected as early as possible.
Hui-Yong Guo, Heng Zuo
doaj +1 more source
An algorithm for nonparametric GARCH modelling [PDF]
Computational Statistics & Data Analysis, 2002 A simple iterative algorithm for nonparametric first-order GARCH modelling is proposed. This method offers an alternative to fitting one of the many different parametric GARCH specifications that have been proposed in the literature. A theoretical justification for the algorithm is provided and examples of its application to simulated data from various
Bühlmann, Peter, McNeil, Alexander J.
openaire +2 more sources
A note on GARCH model identification
Computers & Mathematics with Applications, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Melody Ghahramani, A. Thavaneswaran
openaire +5 more sources
Multimodality in the GARCH Regression Models. [PDF]
International Journal of Forecasting, 2003 It is shown empirically that mixed autoregressive moving average regression models with generalized autoregressive conditional heteroskedasticity (Reg-ARMA-GARCH models) can have multimodality in the likelihood that is caused by a dummy variable in the conditional mean.
Jurgen Doornik, Marius Ooms
openaire +5 more sources
Business Systems Research, 2013 Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has
Bucevska Vesna
doaj +1 more source
Comparative Economic Research, 2021 This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market.
Harjum Muharam +3 more
doaj +1 more source
An exponential continuous time GARCH process [PDF]
, 2006 In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p,q) process. We investigate stationarity and moment properties of the new model.
Haug, Stephan +3 more
core +1 more source