Výsledky vyhledávání - "ARCH/GARCH models"

Purpose - This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interb

Externí odkaz: https://doaj.org/article/27939495f82244d79c9c82cee9c9a17e

Zobrazit plný text záznamu

Forecasting bitcoin volatility: Exploring the potential of deep learning

Autor: Pratas, T. E., Ramos, F. R., Rubio, L. J.

This study aims to evaluate forecasting properties of classic methodologies (ARCH and GARCH models) in comparison with deep learning methodologies (MLP, RNN, and LSTM architectures) for predicting Bitcoin's volatility. As a new asset class with uniqu

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______1199::67aa6c39f6be1c67d179d1c1c8296431
https://hdl.handle.net/10071/28946

Zobrazit plný text záznamu

Türkiye’de Covid 19 döneminde CDS oynaklığı üzerinde BIST100 ve VIX endekslerinin etkilerinin simetrik ve asimetrik koşullu değişen varyans modelleri ile belirlenmesi

Autor: Akdamar, Emrah

Bu çalışmada, 01.01.2020-29.12.2020 dönemine ilişkin CDS, BIST100 ve VIX değişkenlerinin günlük getiri serilerinden yararlanılmıştır. ARCH etkisi gösteren en uygun ARMA ve çoklu regresyon modelleri seçilerek, CDS değişkeninin oynakl

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______9458::70fc1f4aafa384e4224a6f848ba7c1d6
http://hdl.handle.net/11452/31532

Zobrazit plný text záznamu

Akademický článek

Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion

Autor: Călin, Adrian Cantemir, Diaconescu, Tiberiu, Popovici, Oana Cristina

Publikováno v: Computational Methods in Social Sciences. 2(1):42-47

Externí odkaz: https://www.ceeol.com/search/article-detail?id=417009

Zobrazit plný text záznamu

Akademický článek

Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.

Akademický článek

Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion

Autor: Adrian Cantemir CĂLIN, Tiberiu DIACONESCU, Oana – Cristina POPOVICI

Publikováno v: Computational Methods in Social Sciences, Vol 2, Iss 1, Pp 42-47 (2014)

This article follows the main contributions brought to the nonlinear modeling literature. We investigate and review a series of parametric initiatives, focusing on the evolution of TAR and ARCH – GARCH model families in econometric and forecasting

Externí odkaz: https://doaj.org/article/b8b05ccb8a634cb0b862d7a10b11f2de

Zobrazit plný text záznamu

Avalia??o da influ?ncia das varia??es macroecon?micas sobre o comportamento dos fundos de investimentos brasileiros entre 2002 e 2015

Autor: Guaragna, Andr? Wink

Publikováno v: Biblioteca Digital de Teses e Dissertações da PUC_RS
Pontifícia Universidade Católica do Rio Grande do Sul (PUCRS)
instacron:PUC_RS

As varia??es macroecon?micas, como as vivenciadas no Brasil nestas duas ?ltimas d?cadas, t?m exigido maior aten??o dos agentes nas constru??es de seus portf?lios. Os fundos de investimento s?o uma das formas mais usuais de aplica??o dos recursos, nos

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______3056::b207af605da2bb01633741df52143807
http://tede2.pucrs.br/tede2/handle/tede/9399

Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání