Results 21 to 30 of about 1,114 (191)
Angewandte Chemie, EarlyView.A metal‐free fluorinated ketazine‐linked COF is introduced as an efficient electrocatalyst for nitrate reduction to ammonia under neutral conditions. Fluorine substitution enhances π–π stacking and crystallinity, enabling a Faradaic efficiency of 59.9% and an NH3 yield rate of 1639.9 µmol h−1 mgCOF−1 at −0.9 V versus RHE. This establishes an unexplored
Islam E. Khalil +12 more
wiley +2 more sources
Semi- and Nonparametric ARCH Processes
Journal of Probability and Statistics, 2011 ARCH/GARCH modelling has been successfully applied in empirical finance for many years. This paper surveys the semiparametric and nonparametric methods in univariate and multivariate ARCH/GARCH models.
Oliver B. Linton, Yang Yan
doaj +1 more source
Modeling covariance breakdowns in multivariate GARCH [PDF]
Journal of Econometrics, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jin, Xin, Maheu, John M
openaire +3 more sources
Bahar-Azadi Gold Coin Hedging Strategies: A Comparison of ADCC, GO-GARCH and Copula-GARCH Approaches [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2018 In this paper, we employ a new generation of multivariate volatility models, i.e. ADCC, GO-GARCH and Copula-GARCH to estimate and investigate the hedging performance for Bahar-Azadi Gold Coins spot markets (GC) and Futures market (GCF), during 27/10/2010
Elham Farzanegan
doaj +1 more source
Asymmetric multivariate normal mixture GARCH [PDF]
Computational Statistics & Data Analysis, 2009 An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided.
Markus Haas +2 more
openaire +4 more sources
Mixed-frequency multivariate GARCH [PDF]
SSRN Electronic Journal, 2016 We introduce and evaluate mixed-frequency multivariate GARCH models for forecasting low-frequency (weekly or monthly) multivariate volatility based on high-frequency intra-day returns (at five-minute intervals) and on the overnight returns. The low-frequency conditional volatility matrix is modelled as a weighted sum of an intra-day and an overnight ...
Dhaene, Geert, Wu, Jianbin
openaire +3 more sources
ARMA–GARCH model with fractional generalized hyperbolic innovations
Financial Innovation, 2022 In this study, a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail, volatility clustering, and long-range dependence properties is introduced. To define the fractional generalized hyperbolic process, the
Sung Ik Kim
doaj +1 more source
Closed-form portfolio optimization under GARCH models
Operations Research Perspectives, 2022 This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the ...
Marcos Escobar-Anel +2 more
doaj +1 more source
Bayesian semiparametric multivariate GARCH modeling [PDF]
Journal of Econometrics, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mark J. Jensen, John M. Maheu
openaire +4 more sources
Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets
Journal of Agricultural and Resource Economics, 2012 This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market.
Andres Trujillo-Barrera +2 more
doaj +1 more source