Results 121 to 130 of about 13,849,659 (169)

A Range-Based GARCH Model for Forecasting Volatility [PDF]

A new variant of the ARCH class of models for forecasting the conditional variance, to be called the Generalized AutoRegressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) Model, is proposed.
Mapa, Dennis S.
core  

Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19. [PDF]

Heliyon
Kayani UN, Aysan AF, Khan M, Khan M, Mumtaz R, Irfan M.   +5 more
europepmc   +1 more source

The Hedging Performance for BRICS Futures - Applying the Dynamic Copula-GJR-GARCH Model

, 2014
本文主要採用動態的Copula GARCH模型估計現貨與期貨報酬的最小變異避險比率，並和傳統避險模型、固定條件相關條數之CCC-GJR-GARCH模型以及動態條件相關條數之DCC-G取-GARCH模型進行各個模型的避險績效之比較，找出最適的避險比率和最佳的模型。實證應用以金磚五國的現貨與期貨為研究資料，包括巴西IBOVESPA指數、俄羅斯RTS指數、印度S&P CNX NIFTY指數、中國CSI300指數以及南非FTSE/JSE Shareholder Weighted Top40指數。實證結果發現 ...
李沃牆; 柯星妤
core  

Asymmetric and time-frequency co-movements among innovation-themed investments and carbon emission efficiency: Thematic investing and hedging opportunities. [PDF]

PLoS One
Huo C, Ferreira P, Ul Haq I.
europepmc   +1 more source

A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]

We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
Antonio García-Ferrer, Daniel Peña, Ester González-Prieto   +2 more
core  

Hybrid Fourier asymmetric-garch estimation of value at risk and expected shortfall: Empirical evidence from crude oil prices. [PDF]

Heliyon
Doabil L, Nasiru S, Iddrisu MM.
europepmc   +1 more source

Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm. [PDF]

Comput Econ, 2022
Liang R, Qin B, Xia Q.
europepmc   +1 more source

Investigating the impact of investor attention on AI-based stocks: A comprehensive analysis using quantile regression, GARCH, and ARIMA models. [PDF]

PLoS One
Ravichandran S, Afjal M.
europepmc   +1 more source

Enhancing Prediction by Incorporating Entropy Loss in Volatility Forecasting. [PDF]

Entropy (Basel)
Urniezius R, Petrauskas R, Vaitkus V, Karimov J, Brazauskas K, Repsyte J, Kacerauskiene E, Harms T, Dargiene J, Ezerskis D.   +9 more
europepmc   +1 more source

Weighted portmanteau statistics for testing for zero autocorrelation in dependent data. [PDF]

J Appl Stat
Muriel N.
europepmc   +1 more source