Results 41 to 50 of about 3,114 (262)

Stable Mixture GARCH Models [PDF]

SSRN Electronic Journal, 2011
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its special cases.
Broda, Simon A, Haas, Markus, Krause, Jochen, Paolella, Marc S, Steude, Sven C   +4 more
openaire   +5 more sources

Phase Field Failure Modeling: Brittle‐Ductile Dual‐Phase Microstructures under Compressive Loading

Advanced Engineering Materials, EarlyView.
The approach by Amor and the approach by Miehe and Zhang for asymmetric damage behavior in the phase field method for fracture are compared regarding their fitness for microcrack‐based failure modeling. The comparison is performed for the case of a dual‐phase microstructure with a brittle and a ductile constituent.
Jakob Huber, Jan Torgersen, Ewald Werner
wiley   +1 more source

Stock price prediction using combined GARCH-AI models

Scientific African
The non-linear and non-stationary nature of financial time series data poses significant challenges for standalone statistical and neural network methods.
John Kamwele Mutinda, Amos Kipkorir Langat   +1 more
doaj   +1 more source

Is an Apple an Orange? A Large Language Model Benchmark for Candidate Term Extraction and Subclass Decisions Against Upper Ontologies in Engineering and Materials Science

Advanced Engineering Materials, EarlyView.
Building machine‐readable vocabularies for materials science is slow, expert‐driven work. This study benchmarks 13 large language models on two of its first steps: finding candidate terms in engineering articles and deciding where they belong in a class hierarchy.
Thomas Bjarsch, Maximilian Holland, Klaus Drechsler, Johannes Schilp   +3 more
wiley   +1 more source

Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach

Energies, 2020
We propose the use of wavelet-based semiparametric models for forecasting the value-at-risk (VaR) and expected shortfall (ES) in the crude oil market. We compared the forecast outcomes across different time scales for three semiparametric models, three ...
Lu Yang, Shigeyuki Hamori
doaj   +1 more source

Forecasting Inflation Applying ARIMA Model with GARCH Innovation: The Case of Pakistan

Journal of Accounting and Finance in Emerging Economies, 2021
Purpose: The research aims to build a suitable model for the conditional mean and conditional variance for forecasting the rate of inflation in Pakistan by summarizing the properties of the series and characterizing its salient features.
Tahira Bano Qasim, Hina Ali, Natasha Malik, Malika Liaquat   +3 more
doaj   +1 more source

Current Status and Challenges in Data Collection for Aerospace Coatings Deposited by Plasma Spraying

Advanced Engineering Materials, EarlyView.
An innovative approach has been integrated into the GRENAT project to optimize plasma spraying and coating performance. Raw materials are accelerated and melted in the plasma generated by torches, creating coatings. Monitoring sensors collect process data which are combined with ex situ characterization data.
Lila Randriamananjara, Vincent Rat, Quentin Dubreuil, Patrice Valorge, Simon Goutier, Alain Denoirjean, Olivier Messe, Céline Ruelle, Jean‐Philippe Poli   +8 more
wiley   +1 more source

Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015
The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
doaj   +1 more source

Outlier detection in GARCH models [PDF]

, 2005
We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier.
Jurgen A. Doornik, Marius Ooms
openaire   +5 more sources

Chemically Fueled Systems Chemistry Across Length Scales

Advanced Functional Materials, EarlyView.
Chemically fueled reaction cycles regulate processes through single and multiple catalytic sites on the molecular and assembly scale. This gives rise to unique kinetically controlled properties/functions like spatio‐temporal catalysis, oscillations, optical properties, and perform work.
Brigitte A. K. Kriebisch, Job Boekhoven
wiley   +1 more source