Results 161 to 170 of about 1,433 (209)

LSTM-augmented vine copula modelling for energy-finance contagion analysis. [PDF]

Sci Rep
Zeng L, Huang J, Lin X.
europepmc   +1 more source

Research on forward multi-step prediction of EU carbon prices considering multiple factors new evidence from a hybrid model combining secondary decomposition technique and transformer. [PDF]

PLoS One
Zheng H, Zhuang S, Zhang T.
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Can household energy efficiency dampen crude oil price volatility in the United States? [PDF]

PLoS One
Usman O, Ozkan O, Nwani C, Bekun FV, Alola AA.   +4 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

Optimal Allocation of Foreign Debt Solved by a Multivariate GARCH Model Applied to Danish Data

, 1996
Jacob T. Lundquist, Dorte Verner
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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
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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
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Analytical Score for Multivariate GARCH Models [PDF]

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