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Akademický článek

Symmetric and asymmetric volatility: Forecasting the Borsa Istanbul 100 index return volatility

Autor: Öner Selma, Öner Hakan

Publikováno v: Financial Internet Quarterly, Vol 19, Iss 1, Pp 48-56 (2023)

The development of technology and the globalization of financial markets have increased the volatility in financial markets and caused the emergence of risks and uncertainties that have not been previously encountered. Since traditional econometric m

Externí odkaz: https://doaj.org/article/4707f75a173c4c6599b78e62bd783b4c

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Akademický článek

Estimated Covid-19 burden in Spain: ARCH underreported non-stationary time series

Autor: David Moriña, Amanda Fernández-Fontelo, Alejandra Cabaña, Argimiro Arratia, Pedro Puig

Publikováno v: BMC Medical Research Methodology, Vol 23, Iss 1, Pp 1-8 (2023)

Abstract Background The problem of dealing with misreported data is very common in a wide range of contexts for different reasons. The current situation caused by the Covid-19 worldwide pandemic is a clear example, where the data provided by official

Externí odkaz: https://doaj.org/article/693f606e55934e8da6eb73a00573e5c8

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Akademický článek

The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values

Autor: Mohammad Nazeri Tahroudi, Mirali Mohammadi, Keivan Khalili

Publikováno v: Applied Water Science, Vol 12, Iss 12, Pp 1-13 (2022)

Abstract Statistical analysis and simulation of annual maximum discharge values, while considering the corresponding maximum daily rainfall, provide a comprehensive view of flood management. This research presents the application of copula functions

Externí odkaz: https://doaj.org/article/1df4d557b1674539836bb37fd1c3114e

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Akademický článek

Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model

Autor: G.K. CHETAN KUMAR, K.B. RANGAPPA, S. SUCHITRA

Publikováno v: Theoretical and Applied Economics, Vol XXIX, Iss 2, Pp 151-164 (2022)

Covid-19 has adversely affected all the nations and all the sectors of all nations. However, the effect of the same on all the sectors of the economy need not be uniform. Moreover, the severity of impact need not be the same across consequent waves.

Externí odkaz: https://doaj.org/article/dfa71d85cd764ffd94eb17b457624e27

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Akademický článek

Researching the Impact of Financial Innovations on the Main Financial Indicators of Ukraine

Autor: Blahun Semen I.

Publikováno v: Bìznes Inform, Vol 12, Iss 527, Pp 108-113 (2021)

The article researches the impact of financial innovation on the yield of government bonds based on the models of ARCH family, it is proved that the introduction of financial innovations affects government bonds. It is determined that the dynamics of

Externí odkaz: https://doaj.org/article/0b43ff6c0e7d4e32b819bd9dd7ef9744

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Akademický článek

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Akademický článek

Asymptotics of the Adaptive Elastic Net Estimation for Conditional Heteroscedastic Time Series Models

Autor: Yuanyuan Liao, Lihong Wang

Publikováno v: Revstat Statistical Journal, Vol 20, Iss 2 (2022)

In this paper we propose an iteratively reweighted adaptive elastic net estimation method for conditional heteroscedastic time series models. The sign consistency and the asymptotic normality of the estimator are investigated. Compared with the Lasso

Externí odkaz: https://doaj.org/article/fbe3d1c37f344214a40db5cb5f8a0736

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