Results 161 to 170 of about 51,403 (193)

High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. [PDF]

PLoS One
Kuang W.
europepmc   +1 more source

Deep learning volumetrics reveal distinct clinical trajectories for pediatric low-grade gliomas under surveillance: A multicenter study. [PDF]

Neurooncol Adv
Climent Pardo JC, Zapaishchykova A, Boyd A, Tak D, Zielke J, Mahootiha M, Ye Z, Vajapeyam S, Jones J, Smith C, Familiar AM, Nabavizadeh A, Bandopadhayay P, Mueller S, Aerts HJWL, Haas-Kogan DA, Michor F, Ligon KL, Poussaint TY, Faghihroohi S, Kann BH.   +20 more
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A novel hybrid interval prediction framework integrating multiobjective optimization and quantile deep learning for copper price prediction. [PDF]

Sci Rep
Wang Y, Du P, Xu Y, Wang J.
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Examining the safe-haven and hedge capabilities of gold and cryptocurrencies: A GARCH and regression quantiles approach in geopolitical and market extremes. [PDF]

Heliyon
Ben Ameur H, Jamaani F, N Abu Alfoul M.
europepmc   +1 more source

Selected Topics in Time Series Forecasting: Statistical Models vs. Machine Learning. [PDF]

Entropy (Basel)
Tjøstheim D.
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Evaluating GARCH models [PDF]

Journal of Econometrics, 2002
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Stefan Lundbergh, Timo Teräsvirta
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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

Varying Coefficient GARCH Models

2009
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. We consider varying–coefficient parametric models, such as ARCH and GARCH, whose coefficients may arbitrarily vary with time.
Cizek, P., Spokoiny, V.
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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
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GO‐GARCH: a multivariate generalized orthogonal GARCH model

Journal of Applied Econometrics, 2002
AbstractMultivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of generality. A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be parameterized with a fairly large degree of freedom while ...
openaire   +3 more sources