Results 141 to 150 of about 1,203 (162)
Double-Edged Sword of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Stock Returns
, 2020 Adenomon MO, Emenogu NG.
europepmc +1 more source
Tail Risk Dynamics under Price-Limited Constraint: A Censored Autoregressive Conditional Fréchet Model. [PDF]
Entropy (Basel)Xu T, Shu L, Chen Y.
europepmc +1 more source
Restricted normal mixture QMLE for non-stationary TGARCH(1, 1) models
Science China Mathematics, 2014 The threshold GARCH (TGARCH) models have been very useful for analyzing asymmetric volatilities arising from financial time series. Most research on TGARCH has been directed to the stationary case.
Jiazhu Pan
exaly +5 more sources
An analytical approximation of option prices via TGARCH model [PDF]
Economic Research-Ekonomska Istrazivanja, 2021 An option is a financial contract that can be used to reduce risks in an investment. It is widely known that a fair price of this contract depends significantly on the volatility of an underlying asset price, which may be affected differently by ...
Hongwiengjan, Warunya, Thongtha, Dawud
exaly +2 more sources
Modeling and forecasting trading volume index: GARCH versus TGARCH approach
Quarterly Review of Economics and Finance, 2010 Volatility has been described as an indicator of uncertainty which has implications for investment decisions, risk management as well as monetary policy.
Sajid Anwar, Md Monimul Huq
exaly +2 more sources
Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities [PDF]
Journal of Financial EconometricsThis article extends He, Silvennoinen, and Teräsvirta (2008, J Finan Econ, 6, 208–230) and Francq and Zakoïan (2010, GARCH Models) by providing analytical expressions for the moments of the unconditional distribution of the TGARCH(1,1) under alternative ...
Trino Niguez +2 more
exaly +2 more sources
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Measuring natural resources rents volatility: Evidence from EGARCH and TGARCH for global data
Resources Policy, 2022Ahsan Akbar, Sher Ali
exaly
Revisiting natural resources volatility via TGARCH and EGARCH
Resources Policy, 2022Yunpeng Luan, Xiaoguang Yue
exaly