Results 81 to 90 of about 13,849,659 (169)
BACKTESTING VALUE AT RISK MODELS IN THE PRESENCE OF STRUCTURAL BREAK ON THE ROMANIAN AND HUNGARIAN STOCK MARKETS [PDF]
Annals of the University of Oradea: Economic Science, 2014 Transactions on financial markets are associated with variability, risk and uncertainty, so quantification of risk has a great importance. Beside Standard Deviation and Variance, one of the most involved risk measure methods is Value-at-Risk (VaR).
Cociuba Mihail Ioan +3 more
doaj
South African inflation modelling using bootstrapped long short-term memory methods. [PDF]
SN Bus Econ, 2023 Kubheka S.
europepmc +1 more source
The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets [PDF]
This paper studies the month of the year effect, where January effect presents positive and the highest returns of the other months of the year. In order to investigate the specific calendar effect in global level, fifty five stock market indices from ...
Giovanis, Eleftherios
core
, 2018 POT parameter estimates, VaRq(Z) and following Bayesian MS-GJR-GARCH(1,1) Frank and Student’s-t copula-EVT models.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
International Journal of Financial StudiesIn frontier markets, financial volatility exhibits long-memory properties and regime-dependent asymmetries that standard linear models do not capture. This leads to inaccuracies in forecasting risk when a single model is applied across regimes.
Abraham Kisembe Wawire +3 more
doaj +1 more source
Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. GARCH Effects
Nauki o Finansach, 2019 This paper examines the mixture of distribution properties associated with heteroskedastic excess Bitcoin return data, using the volume of Google search queries as a proxy for the information arrival time, from a monthly data sampling period of June 2010
Chamil W. Senarathne, Tijana Šoja
doaj
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH [PDF]
The skewness in physical distributions of equity index returns and the implied volatility skew in the risk-neutral measure are subjects of extensive academic research.
Emese Lazar, Carol Alexandra
core
Parameter estimates following Bayesian GJR-GARCH(1,1) model with skewed Student’s-t distribution.
, 2018 Parameter estimates following Bayesian GJR-GARCH(1,1) model with skewed Student’s-t distribution.
Haslifah M. Hasim (4839987) +2 more
core +1 more source