Zobrazeno 1 - 10
of 420
pro vyhledávání: '"ARMA-GARCH"'
Autor:
Riyath, Mohamed Ismail Mohamed, author, Dewasiri, Narayanage Jayantha, author, Siraju, Mohamed Abdul Majeed Mohamed, author, Jahfer, Athambawa, author, Sood, Kiran, author
Publikováno v:
VUCA and Other Analytics in Business Resilience, Part A
Autor:
Agnieszka Lach
Publikováno v:
Annals of the Polish Association of Agricultural and Agribusiness Economists, Vol XXVI, Iss 3, Pp 80-95 (2024)
The goal of this research was to examine tail dependence structures between selected commodity futures returns. Tail dependence, called also extremal dependence, was evaluated for the pairs of commodities coming from the same sector (energy or agricu
Externí odkaz:
https://doaj.org/article/03fcacc9a30142d3b55c4975db5f347b
Publikováno v:
Cogent Economics & Finance, Vol 12, Iss 1 (2024)
Market turnover levels and liquidity changes across various territories significantly influence currency prices, leading to continuous fluctuations. Consequently, traders and investors constantly seek strategies to mitigate exchange rate risks. This
Externí odkaz:
https://doaj.org/article/9627e84d244f4d7295e7758b97fa3ee4
Publikováno v:
Financial Markets, Institutions and Risks, Vol 8, Iss 1, Pp 31-42 (2024)
Recently, the interest of researchers in the use of hybrid models in the process of analyzing model time series with fluctuations and forecasting fluctuations in financial time series has increased significantly. Hybrid ARMA-GARCH models were created
Externí odkaz:
https://doaj.org/article/10971001a3a345889f40e46e93b41b07
Publikováno v:
JTAM (Jurnal Teori dan Aplikasi Matematika), Vol 7, Iss 3, Pp 805-819 (2023)
Quantifying dependence among variables is the core of all modelling efforts in financial models. In the recent years, copula was introduced to model the dependence structure among financial assets return, and its application developed fast. A large n
Externí odkaz:
https://doaj.org/article/775d9613aa0143f6bf89f4fe52ce7f41
Publikováno v:
Scientific Annals of Economics and Business, Vol 69, Iss 4, Pp 501-520 (2022)
The magnitude of the subprime crisis effects caused recessions in several economies, giving rise to the global financial crisis. The scale of this major shock and the different recovery profiles of European economies motivated this paper. The main ob
Externí odkaz:
https://doaj.org/article/fb3413dd49d941ee94e795ef11b1a1da
Publikováno v:
فصلنامه بورس اوراق بهادار, Vol 15, Iss 59, Pp 389-408 (2022)
Emerging capital markets have limiting regulation such as price range in order to control dark impacts of market excitement and prevent extreme price volatility & market collapse. However, price range due to impose price limitation on timely reflecti
Externí odkaz:
https://doaj.org/article/ddd6225572554471b69f3351c0c1c652
Akademický článek
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Publikováno v:
Scientific Annals of Economics and Business. 69(4):501-520
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=1086713
Publikováno v:
Future Business Journal, Vol 8, Iss 1, Pp 1-12 (2022)
Abstract The multi-fractal analysis has been applied to investigate various stylized facts of the financial market including market efficiency, financial crisis, risk evaluation and crash prediction. This paper examines the daily return series of sto
Externí odkaz:
https://doaj.org/article/1d7c9d3c55c349708aed4f101d66d59b