Results 91 to 100 of about 1,876 (209)

Portmanteau test for a class of multivariate asymmetric power GARCH model [PDF]

, 2022
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau   +2 more
openalex   +1 more source

Efeito da crise de 2007/2008 na transmissão internacional de volatilidade no mercado de capitais brasileiro

REAd
Com a crescente globalização, os mercados financeiros do mundo todo passaram a apresentar maior integração. Tal relacionamento entre mercados possui como implicação um termo que vem atraindo a atenção de profissionais e acadêmicos, a transmissão de ...
Marcelo Brutti Righi, Paulo Sérgio Ceretta   +1 more
doaj   +1 more source

Deep Learning Enhanced Multivariate GARCH

This paper introduces a novel multivariate volatility modeling framework, named Long Short-Term Memory enhanced BEKK (LSTM-BEKK), that integrates deep learning into multivariate GARCH processes. By combining the flexibility of recurrent neural networks with the econometric structure of BEKK models, our approach is designed to better capture nonlinear ...
Wang, Haoyuan, Liu, Chen, Tran, Minh-Ngoc, Wang, Chao   +3 more
openaire   +2 more sources

Bayesian Estimation of R-Vine Copula with Gaussian-Mixture GARCH Margins: An MCMC and Machine Learning Comparison

Mathematics
This study proposes Bayesian estimation of multivariate regular vine (R-vine) copula models with generalized autoregressive conditional heteroskedasticity (GARCH) margins modeled by Gaussian-mixture distributions.
Rewat Khanthaporn, Nuttanan Wichitaksorn
doaj   +1 more source

Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR

, 2012
Giulio Girardi, A. Tolga Ergün
openalex   +1 more source

AgTech: Volatility Prediction for Agricultural Commodity Exchange Trading Applied Deep Learning

IEEE Access
The rapid advancement of computer science technology and artificial intelligence has generated heightened investor interest in quantitative trading, primarily attributable to its exceptional efficiency and consistent performance.
Ngoc-Bao-van Le, Yeong-Seok Seo, Jun-Ho Huh   +2 more
doaj   +1 more source

Multivariate Variance Targeting in the BEKK-GARCH Model

, 2012
Rasmus Søndergaard Pedersen, Anders Rahbek   +1 more
openalex   +1 more source

Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models. [PDF]

Springerplus, 2015
Nortey EN, Ngoh DD, Doku-Amponsah K, Ofori-Boateng K.   +3 more
europepmc   +1 more source

Modeling Volatility of Nigeria Stock Exchange Using Multivariate GARCH Models

, 2019
Monday Osagie Adenomon, John Joseph Mbuk, Haruna Umar Yahaya   +2 more
openalex   +2 more sources