Results 51 to 60 of about 1,876 (209)

Model‐Free Local Partial Correlation

Australian &New Zealand Journal of Statistics, EarlyView.
ABSTRACT In the simple linear regression context, partial correlation measures the linear association between two variables, with the linear effects of a third control variable removed. In this paper, we investigate the local partial correlation using a kernel smoothing approach.
Li‐Shan Huang, Chuo‐Ju Yang, Jin‐Ting Zhang   +2 more
wiley   +1 more source

Ainda os modelos GARCH

Economia Aplicada, 2002
This article summarizes the huge literature on GARCH Models. It is a survey on this subject to spread those models throughout the Portuguese readers.
Rodrigo De Losso da Silveira Bueno
doaj  

Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach [PDF]

Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2016
The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased ...
Hossein Tavakolian, Seyed Amir Etemadi, Reza Tehrani   +2 more
doaj   +1 more source

Financial Time Series Uncertainty: A Review of Probabilistic AI Applications

Journal of Economic Surveys, EarlyView.
ABSTRACT Probabilistic machine learning models offer a distinct advantage over traditional deterministic approaches by quantifying both epistemic uncertainty (stemming from limited data or model knowledge) and aleatoric uncertainty (due to inherent randomness in the data), along with full distributional forecasts.
Sivert Eggen, Tord Johan Espe, Kristoffer Grude, Morten Risstad, Rickard Sandberg   +4 more
wiley   +1 more source

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]

SSRN Electronic Journal, 2010
The paper examines the performance of several multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and diagonal BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and to suggest a crude oil hedge strategy ...
Chang, Chia-Lin, McAleer, Michael, Tansuchat, Roengchai   +2 more
openaire   +5 more sources

Econometrics at the Extreme: From Quantile Regression to QFAVAR1

Journal of Economic Surveys, EarlyView.
ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte, Konstantinos N. Konstantakis, Dimitris Konstantios, Panayotis G. Michaelides, Arsenios‐Georgios N. Prelorentzos   +4 more
wiley   +1 more source

Modeling Nonstationary Financial Volatility with the R Package tvgarch

Journal of Statistical Software
Certain events can make the structure of volatility of financial returns to change, making it nonstationary. Models of time-varying conditional variance such as generalized autoregressive conditional heteroscedasticity (GARCH) models usually assume ...
Susana Campos-Martins, Genaro Sucarrat
doaj   +1 more source

Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator

Borsa Istanbul Review, 2020
Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR)
Sew Lai Ng, Wen Cheong Chin, Lee Lee Chong   +2 more
doaj   +1 more source

Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model [PDF]

تحقیقات مالی, 2012
This paper uses a multivariate GARCH model to simultaneously estimate the mean and conditional variance using daily returns among different Tehran sector indexes from Tir 1386 to Tir 1391. Since different financial assets are traded based on these sector
Esmaiel Abounoori, Mohammadreza Abdollahi   +1 more
doaj   +1 more source

Modeling of the Bitcoin Volatility through Key Financial Environment Variables: An Application of Conditional Correlation MGARCH Models

Mathematics, 2021
Since the launch of Bitcoin, there has been a lot of controversy surrounding what asset class it is. Several authors recognize the potential of cryptocurrencies but also certain deviations with respect to the functions of a conventional currency. Instead,
Ángeles Cebrián-Hernández, Enrique Jiménez-Rodríguez   +1 more
doaj   +1 more source