Works about GARCH model
Results: 1478
Mixed vector autoregression and GARCH–Copula approach for long-term streamflow probabilistic forecasting in a multisite system.
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- Stochastic Environmental Research & Risk Assessment, 2025, v. 39, n. 3, p. 1039, doi. 10.1007/s00477-025-02906-4
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Multiscale neural dynamics in sleep transition volatility across age scales: a multimodal EEG-EMG-EOG analysis of temazepam effects.
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- GeroScience, 2025, v. 47, n. 1, p. 205, doi. 10.1007/s11357-024-01342-6
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On GARCH and Autoregressive Stochastic Volatility Approaches for Market Calibration and Option Pricing.
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- Risks, 2025, v. 13, n. 2, p. 31, doi. 10.3390/risks13020031
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An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data.
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- Risks, 2025, v. 13, n. 2, p. 25, doi. 10.3390/risks13020025
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Market Efficiency and Calendar Anomalies Post-COVID: Insights from Bitcoin and Ethereum.
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- Anáhuac Journal, 2024, v. 24, n. 1, p. 12, doi. 10.36105/theanahuacjour.2024v24n1.01
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- Article
Second-Order Consistencies.
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- Journal of Artificial Intelligence Research, 2011, v. 40, p. 175, doi. 10.1613/jair.3180
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Long-Term Skewness and Systemic Risk.
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- Journal of Financial Econometrics, 2011, v. 9, n. 3, p. 437, doi. 10.1093/jjfinec/nbr002
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Robust Value at Risk Prediction.
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- Journal of Financial Econometrics, 2011, v. 9, n. 2, p. 281, doi. 10.1093/jjfinec/nbq035
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MCMC Estimation of the COGARCH(1,1) Model.
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- Journal of Financial Econometrics, 2010, v. 8, n. 4, p. 481, doi. 10.1093/jjfinec/nbq029
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- Article
Comparison of Volatility Measures: a Risk Management Perspective.
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- Journal of Financial Econometrics, 2010, v. 8, n. 1, p. 29, doi. 10.1093/jjfinec/nbp009
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- Article
Shifts in Individual Parameters of a GARCH Model.
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- Journal of Financial Econometrics, 2010, v. 8, n. 1, p. 122, doi. 10.1093/jjfinec/nbp007
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- Article
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
Inflation Targeting and Inflation Uncertainty.
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- 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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- Article
REAL-EXCHANGE-RATE UNCERTAINTY AND PRIVATE INVESTMENT IN LDCS.
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- Review of Economics & Statistics, 2003, v. 85, n. 1, p. 212, doi. 10.1162/rest.2003.85.1.212
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- Article
Exchange rate volatility and US commodity trade with the rest of the world.
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- International Review of Applied Economics, 2010, v. 24, n. 5, p. 511, doi. 10.1080/02692171.2010.483466
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- Article
Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure.
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- Methodology & Computing in Applied Probability, 2018, v. 20, n. 1, p. 165, doi. 10.1007/s11009-016-9541-4
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A Hybrid Metaheuristic for the Efficient Solution of GARCH with Trend Models.
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- Computational Economics, 2018, v. 52, n. 1, p. 145, doi. 10.1007/s10614-017-9666-8
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- Article
Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach.
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- Computational Economics, 2017, v. 50, n. 3, p. 353, doi. 10.1007/s10614-016-9588-x
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- Article
Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting.
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- Computational Economics, 2016, v. 48, n. 3, p. 379, doi. 10.1007/s10614-015-9535-2
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- Article
On the Choice of a Genetic Algorithm for Estimating GARCH Models.
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- Computational Economics, 2016, v. 48, n. 3, p. 473, doi. 10.1007/s10614-015-9522-7
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- Article
SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence.
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- Computational Economics, 2013, v. 41, n. 2, p. 249, doi. 10.1007/s10614-012-9328-9
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A Long Memory Model with Normal Mixture GARCH.
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- Computational Economics, 2011, v. 38, n. 4, p. 517, doi. 10.1007/s10614-011-9274-y
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- Article
Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact.
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- Computational Economics, 2011, v. 37, n. 3, p. 301, doi. 10.1007/s10614-011-9254-2
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- Article
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
Do High-Frequency Volatility Methods Improve the Accuracies of Risk Forecasts? Evidence from Stock Indexes and Portfolio.
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- Fluctuation & Noise Letters, 2021, v. 20, n. 4, p. N.PAG, doi. 10.1142/S0219477521500322
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- Article
A SEMI-MARKOVIAN APPROACH TO DRAWDOWN-BASED MEASURES.
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- Advances in Complex Systems, 2020, v. 23, n. 8, p. N.PAG, doi. 10.1142/S0219525920500204
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- Article
Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model.
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- Current Issues in Tourism, 2016, v. 19, n. 9, p. 876, doi. 10.1080/13683500.2014.932336
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- Article
Do different stock indices volatility respond differently to Central bank digital currency signals?
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- Electronic Research Archive, 2023, v. 31, n. 9, p. 1, doi. 10.3934/era.2023283
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A mixture deep neural network GARCH model for volatility forecasting.
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- Electronic Research Archive, 2023, v. 31, n. 7, p. 1, doi. 10.3934/era.2023194
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- Article
PRICE VOLATILITY SPILLOVERS AMONG MAJOR WHEAT MARKETS IN THE WORLD.
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- Journal of Agribusiness & Rural Development, 2022, v. 65, n. 3, p. 251, doi. 10.17306/J.JARD.2022.01589
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THE RESPONSE OF ZIMBABWE TOBACCO EXPORTS TO REAL EXCHANGE RATES VOLATILITY: 1980-2019.
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- Journal of Agribusiness & Rural Development, 2020, v. 56, n. 2, p. 201, doi. 10.17306/j.jard.2020.01241
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Bitcoin return volatility forecasting using nonparametric GARCH models.
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- International Journal of Financial Engineering, 2024, v. 11, n. 4, p. 1, doi. 10.1142/S242478632450018X
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Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model.
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- International Journal of Financial Engineering, 2023, v. 10, n. 2, p. 1, doi. 10.1142/S242478632350007X
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The risk interdependence of cryptocurrencies: Before and during the COVID-19 pandemic.
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- International Journal of Financial Engineering, 2022, v. 9, n. 4, p. 1, doi. 10.1142/S2424786321500444
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- Article
Examining Asymmetric Volatility Dynamism of Returns in the Infrastructure Sector in India during Covid 19: - A application of GARCH Models.
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- Acta Universitatis Bohemiae Meridionales, 2022, v. 25, n. 2, p. 126, doi. 10.32725/acta.2022.014
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一类带有GARCH 类误差项的自回归滑动平均模型f.
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- Journal of Guangxi Normal University - Natural Science Edition, 2022, v. 40, n. 1, p. 195, doi. 10.16088/j.issn.1001-6600.2021083003
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دراسة قياسية تحليلية لتقلبات عوائد أسهم بورصة الامارات العربية المتحدة باستخدام نماذج عائلة GARCH.
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- Economic & Managerial Researshes, 2020, v. 14, n. 3, p. 341
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- Article
Can Big Data Help Predict Financial Market Dynamics?: Evidence from the Korean Stock Market.
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- East Asian Economic Review (EAER), 2017, v. 21, n. 2, p. 147, doi. 10.11644/KIEP.EAER.2017.21.2.327
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- Article
VOLATILITY SPILLOVER AND CONTAGION EFFECTS BETWEEN EURODOLLAR FUTURE AND ZERO COUPONS MARKETS: EVIDENCE FROM ITALY.
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- European Journal of Applied Economics, 2020, v. 17, n. 2, p. 67, doi. 10.5937/EJAE17-26893
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- Article
IS THE MONTH-OF-THE-YEAR EFFECT A STYLIZED FACT OR A MYTH? NEW EVIDENCE FROM FRONTIER AFRICAN STOCK MARKETS.
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- Journal of Developing Areas, 2025, v. 59, n. 1, p. 99
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- Article
THE DISSIMILAR MARKET VOLATILITY IN NEIGHBORING FINANCIAL MARKETS: AN EMPIRICAL STUDY USING A MULTIVARIATE GARCH MODEL.
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- Journal of Developing Areas, 2024, v. 58, n. 4, p. 61, doi. 10.1353/jda.2024.a931316
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MODELING JSE STOCK RETURNS DYNAMICS: GARCH VERSUS STOCHASTIC VOLATILITY.
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- Journal of Developing Areas, 2022, v. 56, n. 1, p. 175, doi. 10.1353/jda.2022.0017
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EXCHANGE RATE VOLATILITY AND EXPORTS: SOME NEW ESTIMATES FROM THE ASEAN-5.
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- Journal of Developing Areas, 2020, v. 54, n. 1, p. 65, doi. 10.1353/jda.2020.0004
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- Article
EXCHANGE RATE AND CENTRAL BANK INTERVENTION IN INDIA: AN EMPIRICAL ANALYSIS.
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- Journal of Developing Areas, 2018, v. 52, n. 2, p. 127, doi. 10.1353/jda.2018.0026
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- Article
Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization.
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- Mathematics (2227-7390), 2024, v. 12, n. 11, p. 1611, doi. 10.3390/math12111611
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The Bitcoin Halving Cycle Volatility Dynamics and Safe Haven-Hedge Properties: A MSGARCH Approach.
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- Mathematics (2227-7390), 2023, v. 11, n. 3, p. 698, doi. 10.3390/math11030698
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Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method.
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- Mathematics (2227-7390), 2023, v. 11, n. 3, p. 594, doi. 10.3390/math11030594
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- Article
A Network-Based Analysis for Evaluating Conditional Covariance Estimates.
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- Mathematics (2227-7390), 2023, v. 11, n. 2, p. 382, doi. 10.3390/math11020382
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Forecasting Crude Oil Future Volatilities with a Threshold Zero-Drift GARCH Model.
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- Mathematics (2227-7390), 2022, v. 10, n. 15, p. 2757, doi. 10.3390/math10152757
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Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market.
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- Mathematics (2227-7390), 2022, v. 10, n. 11, p. 1903, doi. 10.3390/math10111903
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