Results 101 to 110 of about 16,252 (305)
Robust and efficient estimation of GARCH models based on Hellinger distance. [PDF]
J Appl Stat, 2022 Zhao Q, Chen L, Wu J.
europepmc +1 more source
Selection of the Informative Base in ARMA-GARCH Models [PDF]
In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically
Laura Muñoz +2 more
core
Coupling Fluid Neutrals to Gyrokinetic Plasma Dynamics for Edge and SOL Turbulence Simulations
Contributions to Plasma Physics, EarlyView.ABSTRACT Accurate modeling of turbulent transport in magnetic confinement fusion devices requires extending first‐principles gyrokinetic simulations from the core to the edge and scrape‐off layer (SOL), where additional physics—particularly plasma–neutrals interactions—must be included.
Sabine Ogier‐Collin +3 more
wiley +1 more source
On the Forecasting Accuracy of Multivariate GARCH Models [PDF]
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems.
Jeroen V.K. Rombouts +2 more
core +2 more sources
Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models. [PDF]
SN Bus Econ, 2022 Sajeev KC, Afjal M.
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
, 2009 Includes bibliographical references (leaves 93-96).This thesis is aimed at investigating the possibility to model the risk of stocks in financial markets and evaluating the adequacy and effectiveness of univariate GARCH models such as the symmetric GARCH
Mtemeri, Tinotenda
core
Edge Fluid Turbulence Simulations of Stellarators With GRILLIX
Contributions to Plasma Physics, EarlyView.ABSTRACT The edge fluid turbulence code GRILLIX has recently been extended from axisymmetric tokamak geometries to support 3D stellarator configurations. Following successful proof‐of‐principle simulations published in Stegmeir et al., we present here a comprehensive simulation of the Wendelstein 7‐AS stellarator.
Andreas Stegmeir +4 more
wiley +1 more source
Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models [PDF]
The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March 2008.
Sabrina Khanniche
core
Estimation of tail thickness parameters from GJR-GARCH models [PDF]
, 2009 We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model.
Iglesias, Emma M. +2 more
core