Results 81 to 90 of about 3,114 (262)
Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility
Journal of Physics: Conference Series, 2019 Abstract Volatility plays an important role in the field of financial econometrics as one of the risk indicators. Many various models address the problem of modeling the volatilities of financial asset returns. This study provides a new empirical performance comparison of the four different GARCH-type models, namely GARCH, GARCH-M, GJR ...
D B Nugroho +5 more
openaire +1 more source
GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks. [PDF]
Comput Econ, 2023 Buczynski M, Chlebus M.
europepmc +1 more source
The ORCA‐TWIN qCMOS Experiment I. Science Case and Commissioning at Calar Alto Observatory
Astronomische Nachrichten, EarlyView.ABSTRACT We describe a pilot study to explore a new generation of fast and low noise CMOS image sensors for time domain astronomy, using two remote telescopes with a baseline of 1635 km. The experiment involves direct imaging with novel qCMOS image sensor technology that combines fast readout with sub‐electron readout noise.
Martin M. Roth +20 more
wiley +1 more source
Biotechnology and Bioengineering, EarlyView.ABSTRACT Single‐stranded DNA (ssDNA) solutions are promising innovations shaping the future of genetic research and medical therapies. In principle, biotechnological mass production of ssDNA can be achieved using Escherichia coli in a high‐cell density fed‐batch process by secreting phagemid particles derived from the filamentous M13 bacteriophages ...
Nathalie Hafner +4 more
wiley +1 more source
Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. [PDF]
F1000Res, 2022 Ali F, Suri P, Kaur T, Bisht D.
europepmc +1 more source
M-ESTIMATION IN GARCH MODELS [PDF]
Econometric Theory, 2008 This paper derives asymptotic normality of a class ofM-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator.
openaire +1 more source
Do Commodity Prices and Energy Markets Drive Asymmetric Volatility in Biodiversity Finance?
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines symmetric and asymmetric volatility spillovers among biodiversity finance, commodity prices, and energy markets using daily data from 2019 to 2025. We apply the Diebold–Yilmaz time–domain connectedness model, Baruník–Křehlík frequency–domain decomposition, and an asymmetric spillover framework.
Ijaz Younis +4 more
wiley +1 more source
RisksThe Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of potential investment losses. Predominantly employed within financial sectors, it aids in adhering to regulatory mandates and in devising ...
Danai Likitratcharoen +1 more
doaj +1 more source
Estimation of the parameters of symmetric stable ARMA and ARMA-GARCH models. [PDF]
J Appl Stat, 2022 Sathe AM, Upadhye NS.
europepmc +1 more source
Exploring the Financial Perspective in Sustainability Strategies: The Case of the Tourism Industry
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines the relationship between sustainability and corporate financial performance in the tourism sector. To address the mixed and inconclusive evidence in prior research, we develop an integrated theoretical framework that combines stakeholder theory, the resource‐based view, legitimacy theory, and agency theory and distinguishes
Rebecca Levy Orelli +3 more
wiley +1 more source