Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models.
- Published in:
- Computational Statistics, 2025, v. 40, n. 7, p. 3527, doi. 10.1007/s00180-025-01642-1
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- Publication type:
- Article
Works matching DE "GARCH model"
Results: 1559
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The Role of Bank Competition in Mitigating Information Asymmetry on Green Bond Markets: Evidence from China.
- Published in:
- Emerging Markets Finance & Trade, 2025, v. 61, n. 12, p. 3936, doi. 10.1080/1540496X.2025.2513350
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- Publication type:
- Article
3
قياس كفاءة سوق العراق للأوراق المالية في المستوى الضعيف: تطبيق عملي باستخدام بيانات تاريخية.
- Published in:
- Iraqi Journal For Economic Sciences, 2025, v. 23, n. 85, p. 246, doi. 10.31272/IJES2025.85.16
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- Publication type:
- Article
4
Predicting Short-Term Stock Returns with Weekly Options Indicators: Comparative Study of Key Market Movers, SPY, and S&P 500 Index.
- Published in:
- Quarterly Journal of Finance, 2025, v. 15, n. 1, p. 1, doi. 10.1142/S2010139225500041
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- Publication type:
- Article
5
Euro Interest Rate Swap Yields: A GARCH Analysis.
- Published in:
- International Journal of Empirical Economics, 2025, v. 4, n. 2, p. 1, doi. 10.1142/S2810943025500039
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- Publication type:
- Article
6
Oil Prices, Sustainability Initiatives, and Stock Market Dynamics: Insights from the MSCI UAE Index.
- Published in:
- Journal of Risk & Financial Management, 2025, v. 18, n. 6, p. 314, doi. 10.3390/jrfm18060314
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- Publication type:
- Article
7
Nonparametric Estimation of Dynamic Value-at-Risk: Multifunctional GARCH Model Case.
- Published in:
- Mathematics (2227-7390), 2025, v. 13, n. 12, p. 1961, doi. 10.3390/math13121961
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- Publication type:
- Article
8
STOCK MARKET VOLATILITY OF G-20 COUNTRIES BEFORE AND DURING THE COVID CRISIS.
- Published in:
- Journal of Commerce & Accounting Research, 2025, v. 14, n. 3, p. 119, doi. 10.21863/jcar/2025.14.3.011
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- Publication type:
- Article
9
MODELING AND FORECASTING VOLATILITY OF STOCK MARKET USING FAMILY OF GARCH MODELS: EVIDENCE FROM CPEC LINKED COUNTRIES.
- Published in:
- Global Economy Journal, 2022, v. 22, n. 1, p. 1, doi. 10.1142/S219456592250004X
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- Publication type:
- Article
10
RETURN AND VOLATILITY SPILLOVER EFFECTS IN LEADING CRYPTOCURRENCIES.
- Published in:
- Global Economy Journal, 2019, v. 19, n. 3, p. N.PAG, doi. 10.1142/S2194565919500179
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- Publication type:
- Article
11
International Stock Market Comovements: What Happened during the Financial Crisis?
- Published in:
- Global Economy Journal, 2012, v. 12, n. 1, p. 1, doi. 10.1515/1524-5861.1788
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- Publication type:
- Article
12
Output Growth and its Volatility: The Gold Standard through the Great Moderation.
- Published in:
- Southern Economic Journal, 2014, v. 80, n. 3, p. 728, doi. 10.4284/0038-4038-2012.161
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- Publication type:
- Article
13
Hype as a Factor on the Global Market: The Case of Bitcoin.
- Published in:
- Journal of Behavioral Finance, 2024, v. 25, n. 1, p. 1, doi. 10.1080/15427560.2022.2073593
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- Publication type:
- Article
14
Time-Varying Market Price of Risk and Investor Sentiment: Evidence from a Multivariate GARCH Model.
- Published in:
- Journal of Behavioral Finance, 2015, v. 16, n. 2, p. 105, doi. 10.1080/15427560.2015.1034856
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- Publication type:
- Article
15
GARCH option pricing models in a South African equity context.
- Published in:
- Orion, 2020, v. 36, n. 1, p. 1, doi. 10.5784/36-1-676
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- Publication type:
- Article
16
Editorial.
- Published in:
- Orion, 2020, v. 36, n. 1, p. i
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- Publication type:
- Article
17
Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure.
- Published in:
- Methodology & Computing in Applied Probability, 2018, v. 20, n. 1, p. 165, doi. 10.1007/s11009-016-9541-4
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- Publication type:
- Article
18
Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets.
- Published in:
- Asia-Pacific Financial Markets, 2025, v. 32, n. 1, p. 147, doi. 10.1007/s10690-024-09449-8
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- Publication type:
- Article
19
Stock returns seasonality in emerging asian markets.
- Published in:
- Asia-Pacific Financial Markets, 2023, v. 30, n. 1, p. 109, doi. 10.1007/s10690-022-09370-y
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- Publication type:
- Article
20
Political Stability and the Effectiveness of Currency Based Macro Prudential Measures.
- Published in:
- Asia-Pacific Financial Markets, 2021, v. 28, n. 2, p. 319, doi. 10.1007/s10690-020-09323-3
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- Publication type:
- Article
21
Market Conditions and Calendar Anomalies in Japanese Stock Returns.
- Published in:
- Asia-Pacific Financial Markets, 2019, v. 26, n. 2, p. 187, doi. 10.1007/s10690-018-9263-4
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- Publication type:
- Article
22
Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models.
- Published in:
- Asia-Pacific Financial Markets, 2019, v. 26, n. 2, p. 129, doi. 10.1007/s10690-018-9262-5
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- Publication type:
- Article
23
VIX Forecast Under Different Volatility Specifications.
- Published in:
- Asia-Pacific Financial Markets, 2017, v. 24, n. 2, p. 131, doi. 10.1007/s10690-017-9227-0
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- Publication type:
- Article
24
Evidence on Hedging Effectiveness in Indian Derivatives Market.
- Published in:
- Asia-Pacific Financial Markets, 2014, v. 21, n. 2, p. 121, doi. 10.1007/s10690-014-9179-6
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- Publication type:
- Article
25
Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data.
- Published in:
- Asia-Pacific Financial Markets, 2013, v. 20, n. 1, p. 83, doi. 10.1007/s10690-012-9160-1
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- Publication type:
- Article
26
Samuelson Hypothesis & Indian Commodity Derivatives Market.
- Published in:
- Asia-Pacific Financial Markets, 2012, v. 19, n. 4, p. 331, doi. 10.1007/s10690-012-9152-1
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- Publication type:
- Article
27
Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model.
- Published in:
- Asia-Pacific Financial Markets, 2011, v. 18, n. 1, p. 55, doi. 10.1007/s10690-010-9120-6
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- Publication type:
- Article
28
Statistical Methodologies for the Market Risk Measurement.
- Published in:
- Asia-Pacific Financial Markets, 2000, v. 7, n. 4, p. 305, doi. 10.1023/A:1010077117199
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- Publication type:
- Article
29
Bayesian Statistical Computations of Nonlinear Financial Time Series Models: A Survey with Illustrations.
- Published in:
- Asia-Pacific Financial Markets, 2000, v. 7, n. 3, p. 209, doi. 10.1023/A:1010052414254
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- Publication type:
- Article
30
Korean Currency Crisis and Regime Change:A Multivariate GARCH Model with Bayesian Approach.
- Published in:
- Asia-Pacific Financial Markets, 2000, v. 7, n. 1, p. 31, doi. 10.1023/A:1010032518979
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- Publication type:
- Article
31
Why Has Taiwan Been Immune to the Asian Financial Crisis?
- Published in:
- Asia-Pacific Financial Markets, 2000, v. 7, n. 1, p. 45, doi. 10.1023/A:1010084503050
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- Publication type:
- Article
32
Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates.
- Published in:
- Asia-Pacific Financial Markets, 1999, v. 6, n. 1, p. 71, doi. 10.1023/A:1010058509622
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- Publication type:
- Article
33
A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option.
- Published in:
- Asia-Pacific Financial Markets, 1998, v. 5, n. 3, p. 227, doi. 10.1023/A:1010041822931
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- Publication type:
- Article
34
Financial Markets Trends and Studies of Singapore Futures Markets.
- Published in:
- Asia-Pacific Financial Markets, 1998, v. 5, n. 1, p. 45, doi. 10.1023/A:1009627208258
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- Publication type:
- Article
35
Mixed vector autoregression and GARCH–Copula approach for long-term streamflow probabilistic forecasting in a multisite system.
- Published in:
- Stochastic Environmental Research & Risk Assessment, 2025, v. 39, n. 3, p. 1039, doi. 10.1007/s00477-025-02906-4
- By:
- Publication type:
- Article
36
Spatial-temporal hurdle model vs. spatial zero-inflated GARCH model: analysis of weekly dengue fever cases.
- Published in:
- Stochastic Environmental Research & Risk Assessment, 2024, v. 38, n. 6, p. 2119, doi. 10.1007/s00477-024-02671-w
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- Publication type:
- Article
37
Nonlinear GARCH-type models for ordinal time series.
- Published in:
- Stochastic Environmental Research & Risk Assessment, 2024, v. 38, n. 2, p. 637, doi. 10.1007/s00477-023-02591-1
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- Publication type:
- Article
38
VOLATILITY PERSISTENCE IN INTERNATIONAL FINANCIAL MARKETS IN THE POST COVID-19 ERA.
- Published in:
- International Journal of Banking & Finance (IJBF), 2023, v. 18, n. 2, p. 79, doi. 10.32890/ijbf2023.18.2.4
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- Publication type:
- Article
39
THE REGIONAL ECONOMIC DETERMINANTS EFFECTS ON STOCK MARKET VOLATILITY: CASE OF LA BOURSE RÉGIONALE DES VALEURS MOBILIÈRES (BRVM) STOCK EXCHANGE.
- Published in:
- Journal of International Trade, Logistics & Law, 2024, v. 10, n. 1, p. 149
- By:
- Publication type:
- Article
40
Modelling and Forecasting Volatility on Electric Power Exchange SEEPEX.
- Published in:
- Management: Journal of Sustainable Business & Management Solutions in Emerging Economies, 2023, v. 28, n. 2, p. 67, doi. 10.7595/management.fon.2021.0002
- By:
- Publication type:
- Article
41
Linkage Between Indian Stock and Commodity Market Under Structural Breaks: A Study Through DCC GARCH Model.
- Published in:
- Journal of IMS Group, 2019, v. 16, n. 1, p. 59
- By:
- Publication type:
- Article
42
Forecasting Volatilty of Returns of Soy Oil Futures Using Garch Models.
- Published in:
- Journal of IMS Group, 2016, v. 13, n. 2, p. 48
- By:
- Publication type:
- Article
43
Forecasting Volatility Spillover of Information Technology Sector Stocks in India: An Application of ARMA & GARCH Model.
- Published in:
- International Journal of Business Analytics & Intelligence (IJBAI), 2016, v. 4, n. 2, p. 36
- By:
- Publication type:
- Article
44
Volatility Behaviour in Emerging Stock Markets - A GARCH Approach.
- Published in:
- International Journal of Business Analytics & Intelligence (IJBAI), 2016, v. 4, n. 2, p. 21
- By:
- Publication type:
- Article
45
Does Investor Sentiment Affect Volatility in the Indian Stock Market? An ARDL Approach.
- Published in:
- International Journal of Banking, Risk & Insurance, 2023, v. 11, n. 1, p. 12
- By:
- Publication type:
- Article
46
Volatility Interactions Across Indian and Chinese Stock Markets.
- Published in:
- International Journal of Banking, Risk & Insurance, 2018, v. 6, n. 1, p. 48
- By:
- Publication type:
- Article
47
Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis.
- Published in:
- Discrete Dynamics in Nature & Society, 2018, p. 1, doi. 10.1155/2018/6042830
- By:
- Publication type:
- Article
48
Bayesian GARCH modeling of functional sports data.
- Published in:
- Statistical Methods & Applications, 2023, v. 32, n. 2, p. 401, doi. 10.1007/s10260-022-00656-z
- By:
- Publication type:
- Article
49
Bayesian inference of multiple structural change models with asymmetric GARCH errors.
- Published in:
- Statistical Methods & Applications, 2021, v. 30, n. 3, p. 1053, doi. 10.1007/s10260-020-00549-z
- By:
- Publication type:
- Article
50
Asymptotic properties of QMLE for seasonal threshold GARCH model with periodic coefficients.
- Published in:
- Statistical Methods & Applications, 2021, v. 30, n. 2, p. 477, doi. 10.1007/s10260-020-00531-9
- By:
- Publication type:
- Article