Results 121 to 130 of about 23,897 (230)

Portfolio optimization with mixture vector autoregressive models

, 2020
Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as ...
Boshnakov, Georgi N., Ravagli, Davide
core  

Nonlinear causality testing with stepwise multivariate filtering [PDF]

This study explores the direction and nature of causal linkages among six currencies denoted relative to United States dollar (USD), namely Euro (EUR), Great Britain Pound (GBP), Japanese Yen (JPY), Swiss Frank (CHF), Australian Dollar (AUD) and Canadian
Stelios Bekiros
core  

Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data [PDF]

, 2007
We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets.
Kocenda, Evûen, Égert, Balázs
core  

Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers

, 2018
Call centers' managers are interested in obtaining accurate point and distributional forecasts of call arrivals in order to achieve an optimal balance between service quality and operating costs.
Bastianin, Andrea, Galeotti, Marzio, Manera, Matteo   +2 more
core   +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

An application of the analogy between vector ARCH and vector random coefficient autoregressive models [PDF]

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model.
He, Changli, Teräsvirta, Timo
core  

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

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

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