Impact of land use change on the long-term economic value of carbon sequestration in Central Alborz, Iran. [PDF]
Sci RepJoloro H +3 more
europepmc +1 more source
Multivariate Regime–Switching GARCH with an Application to International Stock Markets [PDF]
We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure.
Markus Haas, Stefan Mittnik
core
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
Quasi-Maximum Exponential Likelihood Estimation of Conditional Quantiles for GARCH Models Based on High-Frequency Augmented Data. [PDF]
Entropy (Basel)Zhang Z, Zhao S, Cheng J, Wang A.
europepmc +1 more source
Estimation of temporally aggregated multivariate GARCH models [PDF]
This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models.Since these are known to be only weak GARCH, the conditional variance of the aggregated ...
Hafner, C.M., Rombouts, J.V.K.
core
Journal of Product Innovation Management, EarlyView.ABSTRACT Despite their transformative potential, Industrial Internet of Things (IIoT) platforms often fail to evolve into scalable ecosystems. Research on IIoT platforms attributes failure to discrete factors such as governance misalignment or technological complexity and rarely considers how failure unfolds.
Philipp Kernstock +3 more
wiley +1 more source
Strategic Risk Based Forecasting of Brent Crude Oil Prices: A Comparative Analysis of Econometric and Machine Learning Models. [PDF]
Entropy (Basel)Yılmaz TE, Zehir C.
europepmc +1 more source
Is GARCH(1,1) as good a model as the Nobel prize accolades would imply? [PDF]
This paper investigates the relevance of the stationary, conditional, parametric ARCH modeling paradigm as embodied by the GARCH(1,1) process to describing and forecasting the dynamics of returns of the Standard & Poors 500 (S&P 500) stock market index ...
Catalin Starica
core
Journal of Sleep Research, Volume 34, Issue 2, April 2025.Summary The interplay of daily life factors, including mood, physical activity, or light exposure, influences sleep architecture and quality. Laboratory‐based studies often isolate these determinants to establish causality, thereby sacrificing ecological validity.
Anna M. Biller +8 more
wiley +1 more source
An Entropy-Regularised AI Framework for Multi-Asset Volatility Spillover Forecasting and CVaR-Constrained Portfolio Allocation in Financial Markets. [PDF]
Entropy (Basel)Yu J, Wang L, Sun X.
europepmc +1 more source