Results 131 to 140 of about 1,876 (209)

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

, 2019
Xiaohong Chen, Zhuo Huang, Yanping Yi
openalex   +1 more source

rmgarch: Multivariate GARCH Models [PDF]

, 2013
Alexios Galanos
openalex   +1 more source

Recurrent Neural Network GO-GARCH Model for Portfolio Selection. [PDF]

J Time Ser Econom
Burda M, Schroeder AK.
europepmc   +1 more source

Multiscale neural dynamics in sleep transition volatility across age scales: a multimodal EEG-EMG-EOG analysis of temazepam effects. [PDF]

Geroscience
Sirpal P, Sikora WA, Refai HH.
europepmc   +1 more source

On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models. [PDF]

PLoS One
Manzli YS, Fakhfekh M, Béjaoui A, Alnafisah H, Jeribi A.   +4 more
europepmc   +1 more source

An Analysis of Contagion Effect on ASEAN Stock Market Using Multivariate Markov Switching DCC GARCH

, 2019
Terdthiti Chitkasame, Roengchai Tansuchat   +1 more
openalex   +1 more source

Selected Topics in Time Series Forecasting: Statistical Models vs. Machine Learning. [PDF]

Entropy (Basel)
Tjøstheim D.
europepmc   +1 more source

High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. [PDF]

PLoS One
Kuang W.
europepmc   +1 more source

Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models. [PDF]

PLoS One
Zou Y, Xu J, Chen Y.
europepmc   +1 more source

Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach

, 2008
Jie Zhu
openalex   +1 more source