Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns
Ensayos Revista de Economía, 2016 We study the dynamics, volatilities, and interrelations of the Mexican (MME), Brent and WTI oil returns with twelve multivariate GARCH models. The main results suggest that: 1) The volatility of MME is bigger than the one of the WTI but smaller than the ...
Antonio Ruiz-Porras +1 more
doaj
Linking Water Quality to Drinking Water Treatment Costs Using Time Series Analysis: Examining the Effect of a Treatment Plant Upgrade in Ohio. [PDF]
Water Resour Res, 2022 Heberling MT +7 more
europepmc +1 more source
Revista Ingenierías Universidad de Medellín, 2007 En este trabajo se estudian los efectos asimétricos y día de la semana en el Índice de Volatilidades VIX de la Chicago Board Option Exchange del 02/01/2003 al 30/03/2007.
Pilar Beatriz Álvarez Franco +2 more
doaj
A Methodology for Discriminant Time Series Analysis Applied to Microclimate Monitoring of Fresco Paintings. [PDF]
Sensors (Basel), 2021 Ramírez S +3 more
europepmc +1 more source
Market efficiency and the Euro: the case of the Athens Stock Exchange [PDF]
, 2003 The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the ...
Panagiotidis, T
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Volatility forecasts and value-at-risk estimation using TGARCH model
, 2007 Mestrado em FinançasValue-at-Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk, mainly the market risk, of financial portfolios. It measures the worst loss to be expected of a portfolio over a given time horizon at
Ruivo, Sandra Cristina Rosa
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Déterminants de la dollarisation des dépôts en RD Congo : Lecture de l’approche GARCH [PDF]
Mouvements et Enjeux SociauxLa présente étude a analysé les déterminants de la dollarisation des dépôts en RDC, à travers une modélisation hétéroscédastique par la volatilité et de la persistance de ce phénomène dans la durée.
Gilles Bertrand UMBA
doaj
GARCH-Type Models on the Volatility of Indonesian Cocoa’s Spot Price Returns
Jurnal Manajemen dan Wirausaha, 2011 Cocoa plays an important role in generating Indonesian foreign exchange revenues since it is one of Indonesia’s primary commodity exports. Meanwhile, as part of plantation commodity, cocoa’s price also has volatility nature.
Saarce Elsye Hatane
doaj
Time-varying properties of asymmetric volatility and multifractality in Bitcoin. [PDF]
PLoS One, 2021 Takaishi T.
europepmc +1 more source
Market Efficiency and the Euro: The case of the Athens Stock Exchange [PDF]
The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate ...
Theodore Panagiotidis
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