AN ALGORITHM FOR CONDITIONAL EXTREME VALUE THEORY GARCH-EVT TECHNIQUE FOR ESTIMATING VALUE AT RISK.
- Published in:
- Reliability: Theory & Applications, 2025, v. 20, p. 253
- By:
- Publication type:
- Article
Works matching DE "GARCH model"
Results: 1538
1
2
The Pandemic Impact on The Indian Economy - An Application of Garch Model.
- Published in:
- Journal of Contemporary Research in Management, 2023, v. 18, n. 1, p. 27
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- Publication type:
- Article
3
Tail‐dependence in stock‐return pairs.
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- Intelligent Systems in Accounting, Finance & Management, 2002, v. 11, n. 2, p. 89, doi. 10.1002/isaf.216
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- Publication type:
- Article
4
CMMSE: A Time‐Varying Approach to Linear Mixed Models.
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- Mathematical Methods in the Applied Sciences, 2025, v. 48, n. 9, p. 9562, doi. 10.1002/mma.10819
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- Publication type:
- Article
5
Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect.
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- Mathematics (2227-7390), 2025, v. 13, n. 9, p. 1506, doi. 10.3390/math13091506
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- Publication type:
- Article
6
Managing the Risk via the Chi-Squared Distribution in VaR and CVaR with the Use in Generalized Autoregressive Conditional Heteroskedasticity Model.
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- Mathematics (2227-7390), 2025, v. 13, n. 9, p. 1410, doi. 10.3390/math13091410
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- Publication type:
- Article
7
Policy Impacts and Price Fluctuation Characteristics of China's National Emissions Trading System.
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- International Journal of Sustainable Development & Planning, 2025, v. 20, n. 4, p. 1385, doi. 10.18280/ijsdp.200404
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- Publication type:
- Article
8
MODELING AND FORECASTING VOLATILITY OF STOCK MARKET USING FAMILY OF GARCH MODELS: EVIDENCE FROM CPEC LINKED COUNTRIES.
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- Global Economy Journal, 2022, v. 22, n. 1, p. 1, doi. 10.1142/S219456592250004X
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- Article
9
RETURN AND VOLATILITY SPILLOVER EFFECTS IN LEADING CRYPTOCURRENCIES.
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- Global Economy Journal, 2019, v. 19, n. 3, p. N.PAG, doi. 10.1142/S2194565919500179
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- Publication type:
- Article
10
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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- Article
11
Is British output growth related to its uncertainty? Evidence using eight centuries of data.
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- Scottish Journal of Political Economy, 2021, v. 68, n. 3, p. 345, doi. 10.1111/sjpe.12270
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- Article
12
Inflation Targeting and Inflation Uncertainty.
- Published in:
- Scottish Journal of Political Economy, 2012, v. 59, n. 3, p. 283, doi. 10.1111/j.1467-9485.2012.00581.x
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- Publication type:
- Article
13
Identification-Robust Estimation and Testing of the Zero-Beta CAPM.
- Published in:
- Review of Economic Studies, 2013, v. 80, n. 3, p. 892, doi. 10.1093/restud/rds044
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- Publication type:
- Article
14
An analysis of UK swap yields.
- Published in:
- Journal of Post Keynesian Economics, 2023, v. 46, n. 4, p. 566, doi. 10.1080/01603477.2023.2242348
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- Publication type:
- Article
15
On the International Spillover Effects of Uncertainty.
- Published in:
- Open Economies Review, 2023, v. 34, n. 3, p. 541, doi. 10.1007/s11079-022-09694-2
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- Publication type:
- Article
16
Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA.
- Published in:
- Open Economies Review, 2018, v. 29, n. 1, p. 141, doi. 10.1007/s11079-017-9472-x
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- Article
17
Money, Velocity, and the Stock Market.
- Published in:
- Open Economies Review, 2016, v. 27, n. 4, p. 671, doi. 10.1007/s11079-016-9400-5
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- Publication type:
- Article
18
On the Output Effects of Monetary Variability.
- Published in:
- Open Economies Review, 2015, v. 26, n. 2, p. 225, doi. 10.1007/s11079-014-9325-9
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- Publication type:
- Article
19
Episodic Nonlinearity in Leading Global Currencies.
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- Open Economies Review, 2012, v. 23, n. 2, p. 337, doi. 10.1007/s11079-010-9194-9
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- Publication type:
- Article
20
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
21
Stock returns seasonality in emerging asian markets.
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- 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
22
Political Stability and the Effectiveness of Currency Based Macro Prudential Measures.
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- 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
23
Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models.
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- 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
24
Market Conditions and Calendar Anomalies in Japanese Stock Returns.
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- 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
25
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
26
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
27
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
28
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
29
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
30
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
31
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
32
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
33
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
34
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
35
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
36
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
37
Flexible bivariate Poisson integer-valued GARCH model.
- Published in:
- Annals of the Institute of Statistical Mathematics, 2020, v. 72, n. 6, p. 1449, doi. 10.1007/s10463-019-00732-4
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- Publication type:
- Article
38
CUSUM test for general nonlinear integer-valued GARCH models: comparison study.
- Published in:
- Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 5, p. 1033, doi. 10.1007/s10463-018-0676-7
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- Publication type:
- Article
39
On the tail index inference for heavy-tailed GARCH-type innovations.
- Published in:
- Annals of the Institute of Statistical Mathematics, 2016, v. 68, n. 2, p. 237, doi. 10.1007/s10463-014-0495-4
- By:
- Publication type:
- Article
40
Simulated likelihood inference for stochastic volatility models using continuous particle filtering.
- Published in:
- Annals of the Institute of Statistical Mathematics, 2014, v. 66, n. 3, p. 527, doi. 10.1007/s10463-014-0456-y
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- Publication type:
- Article
41
Do High-Frequency Volatility Methods Improve the Accuracies of Risk Forecasts? Evidence from Stock Indexes and Portfolio.
- Published in:
- Fluctuation & Noise Letters, 2021, v. 20, n. 4, p. N.PAG, doi. 10.1142/S0219477521500322
- By:
- Publication type:
- Article
42
Estimating Model Risk of VaR under Different Approaches: Study on European Banks.
- Published in:
- Contemporary Management Problems / Współczesne Problemy Zarządzania, 2021, v. 9, n. 2, p. 65, doi. 10.52934/wpz.151
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- Publication type:
- Article
43
بهبود خوشهبندی از طریق تشخیص و حذف سریهای زمانی پرت بر اساس رویکرد فاصلهای اقلیدسی ونمایی.
- Published in:
- Mathematical Researches, 2023, v. 9, n. 1, p. 1
- By:
- Publication type:
- Article
44
Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models.
- Published in:
- Istanbul Journal of Economics / İstanbul Iktisat Dergisi, 2024, v. 74, n. 1, p. 37, doi. 10.26650/ISTJECON2023-1276992
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- Publication type:
- Article
45
How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model.
- Published in:
- Istanbul Journal of Economics / İstanbul Iktisat Dergisi, 2023, v. 73, n. 1, p. 513, doi. 10.26650/ISTJECON2022-1223833
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- Publication type:
- Article
46
Volatility Modeling and Spillover: The Turkish and Russian Stock Markets.
- Published in:
- Istanbul Business Research, 2024, v. 53, n. 1, p. 81, doi. 10.26650/ibr.2024.53.162811
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- Publication type:
- Article
47
Optimal Portfolio Allocation with Elliptical and Mixed Copulas.
- Published in:
- Istanbul Business Research, 2023, v. 52, n. 3, p. 461, doi. 10.26650/ibr.2023.52.1038219
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- Publication type:
- Article
48
Integration between Indonesian Sharia Stock Index and Türkiye Sharia Index Using the Generalized Autoregressive Conditional Heteroscedasticity Model.
- Published in:
- AL-MUZARA'AH - Journal of Islamic Economics & Finance, 2024, v. 12, n. 2, p. 311, doi. 10.29244/jam.12.2.311-319
- By:
- Publication type:
- Article
49
Time-Varying Properties of Stock Returns: An empirical Perspective.
- Published in:
- Journal of Economic & Social Development (1849-6628), 2023, v. 10, n. 2, p. 128
- By:
- Publication type:
- Article
50
Exploring Volatility Clustering Financial Markets and Its Implication.
- Published in:
- Journal of Economic & Social Development (1849-6628), 2023, v. 10, n. 2, p. 81
- By:
- Publication type:
- Article