Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models
Xiaohong Chen, Zhuo Huang, Yanping Yi
openalex +1 more source
Recurrent Neural Network GO-GARCH Model for Portfolio Selection. [PDF]
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]
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]
Manzli YS +4 more
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An Analysis of Contagion Effect on ASEAN Stock Market Using Multivariate Markov Switching DCC GARCH
Terdthiti Chitkasame +1 more
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Selected Topics in Time Series Forecasting: Statistical Models vs. Machine Learning. [PDF]
Tjøstheim D.
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High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. [PDF]
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]
Zou Y, Xu J, Chen Y.
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