Results 111 to 120 of about 16,252 (305)
Overcoming Cell Fixture Challenges in High‐Pressure Operation of Solid‐State Batteries
Energy Science &Engineering, EarlyView.Accurate application of high uniaxial pressure remains a limiting factor in large‐format solid‐state battery testing. A spring‐loaded fixture employing deflection‐based pressurization enables precise, homogeneous, and reproducible pressure application without expensive in‐fixture sensors, providing a robust framework for systematic investigation of ...
Lovis Wach +3 more
wiley +1 more source
Nuisance parameters, composite likelihoods and a panel of GARCH models [PDF]
We investigate the properties of the composite likelihood (CL) method for (T ×N_T ) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across N_T series, other parameters ...
Neil Shephard +2 more
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Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
Jurnal Akuntansi dan Keuangan, 2011 Agricultural sector plays an important role in Indonesia‟s economy; especially for the plantation sub-sector contributing high revenues to Indonesia‟s exporting sectors.
Saarce Elsye Hatane
doaj
Wake me up before you GO-GARCH [PDF]
In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002).
Boswijk, H.P., Weide, R. van der
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An Introduction to Univariate GARCH Models [PDF]
, 2009 This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard Generalized ARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.
openaire +2 more sources
Journal of Forecasting, EarlyView.ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu +3 more
wiley +1 more source
MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS [PDF]
Annals of the University of Oradea: Economic Science, 2011 In this paper we analyze the return of exchange rate in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the exchange rate return in order to obtain the best models
Cociuba Mihail Ioan, Trenca Ioan
doaj
Merits and drawbacks of variance targeting in GARCH models
Variance targeting estimation is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood (QML) estimation of GARCH models.
Francq, Christian +2 more
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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
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