Results 81 to 90 of about 1,114 (191)

Portfolio Optimization Using Multivariate GARCH Models: Evidence from Tehran Stock Exchange [PDF]

تحقیقات مالی, 2011
In this paper, In order to optimize the portfolio consisting of selected industrial stocks of Petroleum products, automobiles and parts, electrical industry and extraction of minerals from Tehran Stock Exchange member, First, time – varying conditional ...
Hassan Heidari, Ahmad Molabahrami
doaj  

Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model

The Scientific World Journal, 2015
This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series.
Jiechen Tang, Chao Zhou, Xinyu Yuan, Songsak Sriboonchitta   +3 more
doaj   +1 more source

Electricity Price Prediction Using Multikernel Gaussian Process Regression Combined With Kernel‐Based Support Vector Regression

Journal of Forecasting, Volume 45, Issue 4, Page 2059-2077, July 2026.
ABSTRACT This paper presents a new hybrid model for predicting German electricity prices. The algorithm is based on a combination of Gaussian process regression (GPR) and support vector regression (SVR). Although GPR is a competent model for learning stochastic patterns within data and for interpolation, its performance for out‐of‐sample data is not ...
Abhinav Das, Stephan Schlüter, Lorenz Schneider   +2 more
wiley   +1 more source

Econometrics at the Extreme: From Quantile Regression to QFAVAR1

Journal of Economic Surveys, Volume 40, Issue 3, Page 1672-1686, July 2026.
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

Return and Volatility Spillover Under Bearish and Bullish Market Conditions: The Case of the Stock Market and Its Competing Markets in Iran [PDF]

فصلنامه پژوهش‌های اقتصادی ایران
Given the interconnected nature of financial markets, understanding the relationships among them is essential for investors and traders in selecting optimal portfolios, and for policymakers in adopting appropriate monetary and financial policies.
Majid Aghaei, Amin Razinataj
doaj   +1 more source

Deep Learning Enhanced Multivariate GARCH

CoRR
This paper introduces a novel multivariate volatility modeling framework, named Long Short-Term Memory enhanced BEKK (LSTM-BEKK), that integrates deep learning into multivariate GARCH processes. By combining the flexibility of recurrent neural networks with the econometric structure of BEKK models, our approach is designed to better capture nonlinear ...
Haoyuan Wang, Chen Liu, Minh-Ngoc Tran, Chao Wang   +3 more
openaire   +2 more sources

Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients

Journal of Time Series Analysis, Volume 47, Issue 4, Page 854-875, July 2026.
ABSTRACT The problem of selecting the smoothing parameter, or bandwidth, for kernel‐based estimators of time‐varying coefficients in linear models with possibly endogenous explanatory variables is considered. We examine automated bandwidth selection by means of cross‐validation, a nonparametric variant of Akaike's information criterion, and bootstrap ...
Charisios Grivas, Zacharias Psaradakis
wiley   +1 more source

Multifractal Cross-Market Dependence and Dynamic Hedging Under Crisis Regimes: Evidence from Commodity–Equity Interactions

Fractal and Fractional
This study investigates cross-market dependence and dynamic hedging performance between the U.S. equity market and major commodity assets across distinct crisis regimes. Using daily data for the S&P 500 index and four key commodities (WTI crude oil, gold,
Wiem Jouini, Mouna Derbel, Oana Panazan, Catalin Gheorghe   +3 more
doaj   +1 more source

Audit‐Ready Machine Learning for Short‐Horizon Equity Prediction: A Dual‐Target Benchmark With Fold‐Isolated Preprocessing

Engineering Reports, Volume 8, Issue 6, June 2026.
This study introduces a rigorous, walk‐forward protocol to evaluate next‐day return and volatility‐proxy forecasting across matched model families. By enforcing fold‐isolated preprocessing and causal feature construction on US mega‐caps, the study eLectively mitigates performance inflation.
Abdul Kadar Muhammad Masum, Md. Abul Kalam Azad, Mirza Nadim Saad, Al‐Amain, Mohammad Azam Khan, A. B. M. Yasir Arafat   +5 more
wiley   +1 more source

Forecasting Related Time Series

Journal of Applied Econometrics, Volume 41, Issue 4, Page 481-498, June/July 2026.
ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
wiley   +1 more source