Results 1 to 10 of about 2,594 (85)
Mathematics, 2022 The component GARCH model (CGARCH) was among the first attempts to split the conditional variance into a permanent and transitory component. With the application to economic and finance data, it helps investigate the long- and short-run movements of ...
Tong Liu, Yanlin Shi
doaj +1 more source
Discriminating between Light- and Heavy-Tailed Distributions with Limit Theorem. [PDF]
PLoS ONE, 2015 In this paper we propose an algorithm to distinguish between light- and heavy-tailed probability laws underlying random datasets. The idea of the algorithm, which is visual and easy to implement, is to check whether the underlying law belongs to the ...
Krzysztof Burnecki +2 more
doaj +1 more source
Risks, 2022 In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process.
Piergiacomo Sabino
doaj +1 more source
Results in Physics, 2021 The COVID-19 pandemic has been affecting the United States (U.S.) since the outbreak documented on 2/29/2020, and understanding its dynamics is critical for pandemic mitigation and economic recovery.
Xiangnan Yu, Yong Zhang, HongGuang Sun
doaj +1 more source
Asymptotic properties of M-estimator for GARCH(1, 1) model parameters
Журнал Белорусского государственного университета: Математика, информатика, 2020 GARCH(1, 1) model is used for analysis and forecasting of financial and economic time series. In the classical version, the maximum likelihood method is used to estimate the model parameters. However, this method is not convenient for analysis of models
Uladzimir S. Tserakh
doaj +1 more source
Tail risk analysis of the S&P/OIC COMCEC 50 index
Borsa Istanbul Review, 2015 The S&P/OIC COMCEC 50 Sharia index is a joint index created by the organization of the Islamic conference (OIC) member states' stock exchanges forum and S&P indices. It is a Sharia-compliant benchmark of the 50 leading companies from OIC-members.
Mahmoud Bekri, Young Shin (Aaron) Kim
doaj +1 more source
Fractal and Fractional, 2019 New aspects of electron transport in quantum wires with Lévy-type disorder are described. We study the weak scattering and the incoherent sequential tunneling in one-dimensional quantum systems characterized by a tempered Lévy stable ...
Renat T. Sibatov, HongGuang Sun
doaj +1 more source
A Markov Chain Approximation for American Option Pricing in Tempered Stable-GARCH Models
Frontiers in Applied Mathematics and Statistics, 2016 This paper considers the American option pricing problem under the stochastic volatility models. In particular, we introduce the GARCH model with two heavy-tailed distributions: classical tempered stable (CTS) and normal tempered stable (NTS ...
Xiang eShi +2 more
doaj +1 more source
A simulation study on the distributions of disturbances in the GARCH model
Cogent Economics & Finance, 2017 Generalized autoregressive conditional heteroskedastic (GARCH) model is a standard approach to study the volatility behaviour of financial time series.
Lingbing Feng, Yanlin Shi
doaj +1 more source
Approximations related to tempered stable distributions
Modern Stochastics: Theory and ApplicationsIn this article, we first obtain, for the Kolmogorov distance, an error bound between a tempered stable and a compound Poisson distribution (CPD) and also an error bound between a tempered stable and an α-stable distribution via Stein’s method.
Kalyan Barman +2 more
doaj +1 more source