Results 91 to 100 of about 13,849,659 (169)
Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]
Ann Oper Res, 2023 Candila V, Gallo GM, Petrella L.
europepmc +1 more source
Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework. [PDF]
Entropy (Basel), 2022 Ou J, Huang X, Zhou Y, Zhou Z, Nie Q.
europepmc +1 more source
Return Volatility of International Stock Index Based on GJR-Garch(1,1) Model
, 2019 Tidak diijinkan karya tersebut diunggah ke dalam aplikasi Repositori Perpustakaan Universitas karena proses review di Jurnal Dinamika Manajemen yang dikelola Universitas Negeri Semarang.Studi ini memberikan perbandingan kinerja antara model GARCH(1,1 ...
Panjaitan, Lam Peter
core
Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan
Lahore Journal of EconomicsThis paper is a first attempt to measure and analyze inflation uncertainty in Pakistan. It makes several contributions to the literature. In the first stage, using quarterly data from 1976:01 to 2008:02, we model inflation uncertainty as a time-varying ...
Syed Kumail Abbas Rizvi, Bushra Naqvi
doaj
A Framework for Cryptocurrency Volatility Prediction Based on Cross-Correlation Analysis Using Deep Learning [PDF]
International Journal of Information and Communication Technology ResearchThe popularity of cryptocurrencies has intensified the need for accurate volatility prediction models. This research proposes a novel approach to enhance conditional variance predictions for cryptocurrencies.
Masoud Omidvari Abarghouie +3 more
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A model-free approach to do long-term volatility forecasting and its variants. [PDF]
Financ Innov, 2023 Wu K, Karmakar S.
europepmc +1 more source
When the market got the first dose: Stock volatility and vaccination campaign in COVID-19 period. [PDF]
Heliyon, 2023 To BCN, Nguyen BKQ, Nguyen TVT.
europepmc +1 more source
Applying Copula-GJR-GARCH model in the hedging of gold futures and silver futures
, 2011 碩士金融資產報酬通常為厚尾且非常態為主，而過去多數文獻的模型以常態分配為假設，而Copula函數能夠依據個別資料之間的關聯性找出最適之分配，使得模型的運用上更加有彈性。 本文主要分別利用傳統避險模型、固定條件相關(CCC-GJR-GARCH)模型、動態條件相關(DCC-GJR-GARCH)模型以及以Copula-based GJR-GARCH模型，利用最小變異避險理論為避險績效衡量標準，依據樣本內及樣本外進行避險比率及避險績效的實證，找出最佳的模型，提供最適的避險比率之衡量與績效評估之比較 ...
李莠苓; Lee, You-Ling
core +1 more source
Revista de Métodos Cuantitativos para la Economía y la Empresa, 2018 Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk management; they have become one of the major topics in financial econometrics and they are principally and continuously used in the pricing of
El Jebari, Ouael , Hakmaoui, Abdelati
doaj