Results 181 to 190 of about 23,897 (230)

Lead-lag relationship between futures and spot markets in Greece: 1999 - 2001 [PDF]

, 2007
Floros, Christos, Vougas, D.
core  

Developing a multivariate time series forecasting framework based on stacked autoencoders and multi-phase feature. [PDF]

Heliyon
Kumar Sharma D, Prakash Varshney R, Agarwal S, Ali Alhussan A, Abdallah HA.   +4 more
europepmc   +1 more source

An adaptive weight ensemble approach to forecast influenza activity in an irregular seasonality context. [PDF]

Nat Commun
Tsang TK, Du Q, Cowling BJ, Viboud C.
europepmc   +1 more source

CMDMamba: dual-layer Mamba architecture with dual convolutional feed-forward networks for efficient financial time series forecasting. [PDF]

Front Artif Intell
Qin Z, Wei B, Zhai Y, Lin Z, Yu X, Jiang J.   +5 more
europepmc   +1 more source

The effects of the COVID-19 pandemic period on stock market return and volatility. Evidence from the Pakistan Stock Exchange.

PLoS One
Wang B, Waris M, Adamiak K, Adnan M, Hamad HA, Bhatti SM.   +5 more
europepmc   +1 more source

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Affine multivariate GARCH models

Journal of Banking & Finance, 2020
Abstract This paper introduces a class of Affine multivariate GARCH models. Our setting offers flexibility to accommodate stylized facts of asset returns like dynamic conditional correlation and a covariance dependent pricing kernel. The model admits a closed-form recursive representation for the moment generating function under both historical and ...
Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft   +2 more
openaire   +1 more source

A multivariate skew-garch model

2005
Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news.
DE LUCA, GIOVANNI, LOPERFIDO N, GENTON M.   +2 more
openaire   +3 more sources

Dynamic Factor Multivariate GARCH Model

SSRN Electronic Journal, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Santos, André A. P., Moura, Guilherme V.   +1 more
openaire   +1 more source

Analytical Score for Multivariate GARCH Models [PDF]

Computational Economics, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source