Volatility Clustering in U.S. Home Prices [PDF]
Generalized autoregressive conditional heteroscedasticity (GARCH) effects imply the probability of large losses is greater than standard mean-variance analysis suggests.
William Miles
core
Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models. [PDF]
Springerplus, 2015 Nortey EN +3 more
europepmc +1 more source
The effect of realised volatility on stock returns risk estimates [PDF]
In this paper, we estimate minimum capital risk requirements for short, long positions and three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility
Aurea Grane, Helena Veiga
core
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 functional coefficient autoregression of order p (AR(p)) with the conditional variance specified as a general
Mika Meitz, Pentti Saikkonen
core
Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]
Entropy (Basel)Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
europepmc +1 more source
Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
europepmc +1 more source
A Predictive and Adaptive Virtual Exposure Framework for Spider Fear: A Multimodal VR-Based Behavioral Intervention. [PDF]
Healthcare (Basel)Mohamed HG +6 more
europepmc +1 more source
Testing for the footprints of stabilization economic policy in forecast errors. [PDF]
PLoS OneCharemza W +4 more
europepmc +1 more source
Flexible Target Prediction for Quantitative Trading in the American Stock Market: A Hybrid Framework Integrating Ensemble Models, Fusion Models and Transfer Learning. [PDF]
Entropy (Basel)Yan K +6 more
europepmc +1 more source