Results 61 to 70 of about 16,252 (305)

Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework

Entropy, 2022
Traffic volatility modeling has been highly valued in recent years because of its advantages in describing the uncertainty of traffic flow during the short-term forecasting process.
Jishun Ou, Xiangmei Huang, Yang Zhou, Zhigang Zhou, Qinghui Nie   +4 more
doaj   +1 more source

Random coefficient GARCH models

Mathematical and Computer Modelling, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
A. Thavaneswaran, Srimantoorao Semischetty Appadoo, M. Samanta   +2 more
openaire   +2 more sources

Chiral‐Induced Spin Selectivity Effect in a 1 nm Thin 1,1′‐Binaphthyl‐2,2′‐diyl Hydrogenphosphate Self‐Assembled Monolayer on Nickel Oxide

Advanced Science, EarlyView.
A self‐assembled monolayer (≈0.9 nm) of an axially chiral binaphthol phosphoric acid derivative on a ferromagnetic Ni/NiOx substrate shows chiral‐induced spin selectivity (CISS) magnetoresistance of 50%–80%. This thermally and chemically robust functional stack shows the way towards practical spintronic devices based on the CISS effect.
Abin Nas Nalakath, Christian Pfeiffer, Anu Gupta, Franziska Schölzel, Michael Zharnikov, Georgeta Salvan, Ron Naaman, Marc Tornow, Peer Kirsch   +8 more
wiley   +1 more source

Modeling S&P500 returns with GARCH models

Latin American Journal of Central Banking, 2023
This paper provides several estimates of the GARCH models’ parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the ...
Rodrigo Alfaro, Alejandra Inzunza
doaj   +1 more source

Integrating Automated Electrochemistry and High‐Throughput Characterization with Machine Learning to Explore Si─Ge─Sn Thin‐Film Lithium Battery Anodes

Advanced Energy Materials, Volume 15, Issue 11, March 18, 2025.
A closed‐loop, data‐driven approach facilitates the exploration of high‐performance Si─Ge─Sn alloys as promising fast‐charging battery anodes. Autonomous electrochemical experimentation using a scanning droplet cell is combined with real‐time optimization to efficiently navigate composition space.
Alexey Sanin, Jackson K. Flowers, Tobias H. Piotrowiak, Frederic Felsen, Leon Merker, Alfred Ludwig, Dominic Bresser, Helge Sören Stein   +7 more
wiley   +1 more source

Closed-form portfolio optimization under GARCH models

Operations Research Perspectives, 2022
This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the ...
Marcos Escobar-Anel, Maximilian Gollart, Rudi Zagst   +2 more
doaj   +1 more source

Volatility analysis and forecasting of vegetable prices using an ARMA‐GARCH model: An application of the CF filter and seasonal adjustment method to Korean green onions

Agribusiness, EarlyView.
Abstract The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend ...
Yiyang Qiao, Byeong‐il Ahn
wiley   +1 more source

New practice for investors in Chinese stock market: From perspective of fractionally integrated realized GARCH model

Heliyon, 2023
In this paper, based on the Realized GARCH model, the fractional integration Realized GARCH model is proposed by combining long memory parameters with conditional variance and replacing the original realized measure with the realized measure obtained ...
Mei Xiao, Zaiping Tao, Zhouyi Gu, Zhengxin Li, Xihui Chen   +4 more
doaj   +1 more source

Stability of Nonlinear AR-GARCH Models [PDF]

SSRN Electronic Journal, 2006
Abstract.  This article studies the stability of nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a nonlinear autoregression of order p [AR(p)] with the conditional variance specified as a nonlinear first‐order generalized autoregressive conditional heteroskedasticity [GARCH(1,1)] model.
MEITZ, Mika, SAIKKONEN, Pentti
openaire   +8 more sources

Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?

Agribusiness, EarlyView.
ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
wiley   +1 more source