Works matching DE "GARCH model"
Results: 1497
The Javanese Lunar Calendar's Effect on Indonesian Stock Returns.
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- Gadjah Mada International Journal of Business, 2015, v. 17, n. 2, p. 125, doi. 10.22146/gamaijb.6906
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A search for long-range dependence and chaotic structure in Indian stock market
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- Review of Financial Economics, 2011, v. 20, n. 2, p. 96, doi. 10.1016/j.rfe.2011.04.002
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An analysis of UK swap yields.
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- Journal of Post Keynesian Economics, 2023, v. 46, n. 4, p. 566, doi. 10.1080/01603477.2023.2242348
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Modeling climate effects on hip fracture rate by the multivariate GARCH model in Montreal region, Canada.
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- International Journal of Biometeorology, 2014, v. 58, n. 5, p. 921, doi. 10.1007/s00484-013-0675-6
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- Article
VAD Based on Kernel Smoothed Function of EGARCH Models.
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- Wireless Personal Communications, 2013, v. 72, n. 1, p. 299, doi. 10.1007/s11277-013-1015-1
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- Article
Simple Traffic Prediction Mechanism and its Applications in Wireless Networks.
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- Wireless Personal Communications, 2011, v. 59, n. 2, p. 261, doi. 10.1007/s11277-009-9916-8
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- Article
بهبود خوشهبندی از طریق تشخیص و حذف سریهای زمانی پرت بر اساس رویکرد فاصلهای اقلیدسی ونمایی.
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- Mathematical Researches, 2023, v. 9, n. 1, p. 1
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Analyzing the Information Contained in the Skewness and Kurtosis of TEPIX Returns for Forecasting Risk: GARCH Model with Gram-Charlier Expansions for Innovations.
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- Financial Management Perspective / Chashm/&āz-i Mudīriyyat-i Mālī, 2024, v. 14, n. 45, p. 149, doi. 10.48308/jfmp.2024.104895
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Investigating the dynamics of Volatility relationships in the selected cryptocurrencies.
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- Financial Management Perspective / Chashm/&āz-i Mudīriyyat-i Mālī, 2023, v. 13, n. 41, p. 37, doi. 10.48308/jfmp.2023.103889
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ROBUST ESTIMATION FOR THE ORTHOGONAL GARCH MODEL *.
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- Manchester School (1463-6786), 2013, v. 81, n. 6, p. 904, doi. 10.1111/j.1467-9957.2012.02315.x
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EKONOMİ POLİTİKA BELİRSİZLİĞİ VE GETİRİ-VOLATİLİTE İLİŞKİSİ: GELİŞMİŞ ÜLKE BORSALARINDAN KANITLAR.
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- Bulletin of Accounting & Finance Reviews / Muhasebe ve Finans İncelemeleri Dergisi, 2023, v. 6, n. 1, p. 15, doi. 10.32951/mufider.1205714
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- Article
Asymmetric GARCH type models for asymmetric volatility characteristics analysis and wind power forecasting.
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- Protection & Control of Modern Power Systems, 2019, v. 4, n. 1, p. 1, doi. 10.1186/s41601-019-0146-0
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- Article
Financial Stability of Islamic Banks in GCC Region During The Subprime Crisis: An Empirical Analysis.
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- Journal of Financial, Accounting & Managerial Studies, 2021, v. 8, n. 3, p. 889
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- Article
The Impact of Investor Sentiment on Stock Returns in the Indonesian Stock Market During the Period (2001-2022): An Econometric Study.
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- Finance & Business Economies Review, 2023, v. 7, n. 4, p. 166
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- Article
Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy.
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- Journal of Finance & Banking Review (JFBR), 2023, v. 7, n. 4, p. 16, doi. 10.35609/jfbr.2023.7.4(2)
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Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021.
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- Journal of Finance & Banking Review (JFBR), 2023, v. 7, n. 4, p. 1, doi. 10.35609/jfbr.2023.7.4(1)
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- Article
Testing Black Scholes and GARCH Model Options on Gold Price Index with Long Strangle Strategy Using 1985-2020 Data.
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- Journal of Finance & Banking Review (JFBR), 2022, v. 7, n. 3, p. 160, doi. 10.35609/jfbr.2022.7.3(3)
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- Article
Indian Stock Market Volatility using GARCH Models: A Case Study of NSE.
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- AIMS International Journal of Management, 2021, v. 15, n. 1, p. 47, doi. 10.26573/2021.15.1.4
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- Article
Non-linear Dependencies in Gold and Stock Prices: A Multivariate Analysis.
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- AIMS International Journal of Management, 2017, v. 11, n. 1, p. 21, doi. 10.26573/2017.11.1.2
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- Article
Modelling and Forecasting Volatility on Electric Power Exchange SEEPEX.
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- Management: Journal of Sustainable Business & Management Solutions in Emerging Economies, 2023, v. 28, n. 2, p. 67, doi. 10.7595/management.fon.2021.0002
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- Article
MODELLING VOLATILITY OF PETROLEUM PRODUCTIONS BY USING MARKOV-SWITCHING GARCH MODELS.
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- International Journal of Agricultural & Statistical Sciences, 2022, v. 18, p. 1657
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- Article
FORECASTING THE FUZZY HYBRID ARIMA-GARCH MODEL OF STOCK PRICES IN THE IRAQI STOCK EXCHANGE.
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- International Journal of Agricultural & Statistical Sciences, 2021, v. 17, p. 2229
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- Article
DETERMINANTS OF GROWTH IN ASSAM, INDIA: A STATISTICAL PERSPECTIVE.
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- International Journal of Agricultural & Statistical Sciences, 2021, v. 17, n. 1, p. 279
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- Article
A NOVAL SVR ESTIMATION OF FIGARCH MODEL AND FORECASTING FOR WHITE OIL DATA IN IRAQ.
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- International Journal of Agricultural & Statistical Sciences, 2020, v. 16, p. 2125
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- Article
Short-, Long- and Cross-Term Comovement of OMXH25 Stocks.
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- Nordic Journal of Business, 2019, v. 68, n. 3, p. 23
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Robust time series clustering of GARCH (1,1) models with outliers.
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- Statistics, 2025, v. 59, n. 1, p. 152, doi. 10.1080/02331888.2024.2426741
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- Article
Financial and Oil Market's Co-Movements by a Regime-Switching Copula.
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- Econometrics (2225-1146), 2024, v. 12, n. 2, p. 14, doi. 10.3390/econometrics12020014
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- Article
Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks.
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- Econometrics (2225-1146), 2023, v. 11, n. 1, p. 5, doi. 10.3390/econometrics11010005
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A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model.
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- Econometrics (2225-1146), 2022, v. 10, n. 3, p. 30, doi. 10.3390/econometrics10030030
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Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models.
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- Econometrics (2225-1146), 2021, v. 9, n. 2, p. 21, doi. 10.3390/econometrics9020021
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- Article
Optimal Multi-Step-Ahead Prediction of ARCH/GARCH Models and NoVaS Transformation.
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- Econometrics (2225-1146), 2019, v. 7, n. 3, p. 34, doi. 10.3390/econometrics7030034
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Volatility modeling of cryptocurrency and identifying common GARCH model.
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- Communications in Statistics: Case Studies & Data Analysis, 2024, v. 10, n. 2, p. 125, doi. 10.1080/23737484.2024.2351998
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- Article
SPECTRAL ANALYSIS OF EXCHANGE RATES.
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- International Journal of Organizational Leadership, 2013, v. 2, n. 1, p. 21, doi. 10.33844/ijol.2013.60447
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- Article
Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function Approach.
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- Baghdad Science Journal, 2024, v. 21, n. 2, p. 511, doi. 10.21123/bsj.2023.7489
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- Article
Evaluating The Asymmetric Effect And Volatility Persistence In The Nigerian Stock Market.
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- Journal of Namibian Studies, 2023, v. 35, p. 100
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Semi-parametric financial risk forecasting incorporating multiple realized measures.
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- Quantitative Finance, 2024, v. 24, n. 12, p. 1823, doi. 10.1080/14697688.2024.2431564
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- Article
Coupled GARCH(1,1) model.
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- Quantitative Finance, 2023, v. 23, n. 5, p. 759, doi. 10.1080/14697688.2023.2175715
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- Article
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios.
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- Quantitative Finance, 2023, v. 23, n. 3, p. 393, doi. 10.1080/14697688.2022.2159505
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- Article
Backtesting expected shortfall and beyond.
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- Quantitative Finance, 2021, v. 21, n. 7, p. 1109, doi. 10.1080/14697688.2020.1834120
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- Article
Lattice-based hedging schemes under GARCH models.
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- Quantitative Finance, 2021, v. 21, n. 5, p. 697, doi. 10.1080/14697688.2020.1865559
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- Article
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences.
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- Quantitative Finance, 2020, v. 20, n. 11, p. 1839, doi. 10.1080/14697688.2020.1761029
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- Article
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics.
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- Quantitative Finance, 2020, v. 20, n. 11, p. 1849, doi. 10.1080/14697688.2020.1751257
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- Article
Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model.
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- Quantitative Finance, 2019, v. 19, n. 11, p. 1839, doi. 10.1080/14697688.2019.1614653
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- Article
Variance swaps valuation under non-affine GARCH models and their diffusion limits.
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- Quantitative Finance, 2019, v. 19, n. 2, p. 227, doi. 10.1080/14697688.2018.1478120
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- Article
Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition.
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- Quantitative Finance, 2018, v. 18, n. 9, p. 1501, doi. 10.1080/14697688.2018.1444534
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- Article
Cross-border exchanges and volatility forecasting.
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- Quantitative Finance, 2018, v. 18, n. 5, p. 789, doi. 10.1080/14697688.2017.1414512
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- Article
Assessing the effectiveness of local and global quadratic hedging under GARCH models.
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- Quantitative Finance, 2017, v. 17, n. 9, p. 1305, doi. 10.1080/14697688.2017.1279342
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- Article
Smooth nonparametric Bernstein vine copulas.
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- Quantitative Finance, 2017, v. 17, n. 1, p. 139, doi. 10.1080/14697688.2016.1185141
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- Article
Risk forecasting in (T)GARCH models with uncorrelated dependent innovations.
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- Quantitative Finance, 2017, v. 17, n. 1, p. 121, doi. 10.1080/14697688.2016.1184303
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- Article
A nesting framework for Markov-switching GARCH modelling with an application to the German stock market.
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- Quantitative Finance, 2016, v. 16, n. 3, p. 411, doi. 10.1080/14697688.2015.1015599
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- Article