Results 51 to 60 of about 4,724 (162)
The Volatility Forecasting of Tehran& International Stock Exchanges [PDF]
مطالعات تجربی حسابداری مالی, 2008 Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible.
H. Khaleghi Moghadam +2 more
doaj
Forecasting the time-varying beta of UK firms: GARCH models vs Kalman filter method
, 2007 This paper forecast the weekly time-varying beta of 20 UK firms by means of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model.
Choudhry, Taufiq, Wu, Hao
core
Journal of Time Series Analysis, Volume 45, Issue 6, Page 910-930, November 2024.Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and its variations have been widely adopted in the study of financial volatilities, while the extension of GARCH‐type models to high‐dimensional data is always difficult because of over‐parameterization and computational complexity. In this article, we propose a multi‐variate GARCH‐
Yue Pan, Jiazhu Pan
wiley +1 more source
Cryptocurrency portfolio optimization: Utilizing a GARCH‐copula model within the Markowitz framework
Journal of Corporate Accounting &Finance, Volume 35, Issue 4, Page 139-155, October 2024.Abstract The growing interest in cryptocurrencies has brought this new means of exchange to the attention of the financial world. This study aims to investigate the effects that a cryptocurrency can have when it is considered as a financial asset. The analysis is carried out from an ex‐post perspective, evaluating the performance achieved in a certain ...
Vahidin Jeleskovic +3 more
wiley +1 more source
Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets [PDF]
This paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia, Philippines, Thailand and Vietnam), incorporating with the effects from the international gold market.
Giam Quang Do +2 more
core
Cosmic pears from the Havelland (Germany): Ribbeck, the twelfth recorded aubrite fall in history
Meteoritics &Planetary Science, Volume 59, Issue 10, Page 2660-2694, October 2024.Abstract In 1889 the German poet and novelist Theodor Fontane wrote the popular literary ballad “Herr von Ribbeck auf Ribbeck im Havelland.” The Squire von Ribbeck is described as a gentle and generous person, who often gives away pears from his pear trees to children passing by and continued donating pears after his death.
Addi Bischoff +29 more
wiley +1 more source
Model Selection and Testing of Conditional and Stochastic Volatility Models [PDF]
This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and ...
Caporin, M., McAleer, M.J.
core +4 more sources
The information contents of vix index and range-based volatility on volatility forecasting performance of s&p 500 [PDF]
In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance.
Jui-Cheng Hung
core
"Dynamic Conditional Correlations for Asymmetric Processes" [PDF]
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models
Manabu Asai, Michael McAleer
core +3 more sources
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan [PDF]
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which
Chia-Lin Chang, Michael McAleer
core +3 more sources