Results 21 to 30 of about 221,640 (269)
RAC: Revista de Administração Contemporânea, 2020 Context: modeling volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: in this tutorial paper, we will address the topic of volatility modeling in R.
Marcelo Scherer Perlin +3 more
doaj +1 more source
Modeling the Price Volatility of Cassava Chips in Thailand: Evidence from Bayesian GARCH-X Estimates
Economies, 2021 Thailand is a significant global exporter of cassava, of which cassava chips are the main export products. Moreover, China was the most important export market for Thailand from 2000 to 2020.
Jittima Singvejsakul +2 more
doaj +1 more source
Modeling Electricity Price Dynamics Using Flexible Distributions
Mathematics, 2022 We consider the wholesale electricity market prices in England and Wales during its complete history, where price-cap regulation and divestment series were introduced at different points in time.
Sherzod N. Tashpulatov
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VOLATILITY ANALYSIS USING THE EGARCH METHOD: CASE STUDY OF BBCA, BMRI, BRIS
Assets: Jurnal Akuntansi dan PendidikanThis study aimed to test the volatility model of BBCA and BMRI stocks on the IDX. The research problem is whether there is an influence of BBCA and LQ45 volatility on BMRI and vice versa.
Suhendro Suhendro, Purnama Siddi
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Value At Risk (VAR) With Respect To Single Risk Factor [PDF]
Revista Română de Statistică, 2010 The paper reports on developing a value at risk (VaR) model with respect to a single risk factor. In the process, it shows how stochastic differential equation (SDE) and its variants can be considered as special cases of the VaR framework developed ...
Anass BAYAGA
doaj
When the U.S. Stock Market Becomes Extreme?
Risks, 2014 Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics.
Sofiane Aboura
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Stock Market Volatility and Return Analysis: A Systematic Literature Review
Entropy, 2020 In the field of business research method, a literature review is more relevant than ever. Even though there has been lack of integrity and inflexibility in traditional literature reviews with questions being raised about the quality and trustworthiness ...
Roni Bhowmik, Shouyang Wang
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FEBS Letters, EarlyView.Exposure to common noxious agents (1), including allergens, pollutants, and micro‐nanoplastics, can cause epithelial barrier damage (2) in our body's protective linings. This may trigger an immune response to our microbiome (3). The epithelial barrier theory explains how this process can lead to chronic noncommunicable diseases (4) affecting organs ...
Can Zeyneloglu +17 more
wiley +1 more source
MODEL APPROACH OF AGGREGATE RETURN VOLATILITY: GARCH(1,1)-COPULA VS GARCH(1,1)-BIVARIATE NORMAL
BarekengAggregate risk is an aggregation of single risks that are both independent and interdependent. In this study, aggregate risk is constructed from two interdependent random risk variables.
Asysta Amalia Pasaribu, Anang Kurnia
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FEBS Letters, EarlyView.Phototrophs evolved light‐harvesting systems adapted for efficient photon capture in habitats enriched in far‐red radiation. A subset of eukaryotic pigment‐binding proteins can absorb far‐red photons via low‐energy chlorophyll states known as red forms.
Antonello Amelii +8 more
wiley +1 more source