Zobrazeno 1 - 10
of 237
pro vyhledávání: '"GARCH volatility model"'
Publikováno v:
Studies in Economics & Econometrics; Sep2022, Vol. 46 Issue 3, p169-184, 16p
Publikováno v:
Studies in Economics and Econometrics. 46:169-184
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4aef89312da4751058d268cdcd7eb205
https://doi.org/10.1080/03796205.2022.2143881
https://doi.org/10.1080/03796205.2022.2143881
Publikováno v:
Data Science in Finance and Economics, Vol 2, Iss 2, Pp 54-79 (2022)
In this work, estimating the exponentiated half logistic skew-t model parameters using some classical estimation procedures is considered. The finite sample performance of the EHLST parameter estimates is examined through extensive Monte Carlo simula
Externí odkaz:
https://doaj.org/article/f2e7b6cc0e8d48a5828136a5ca91008e
Publikováno v:
Scientific African, Vol 16, Iss , Pp e01253- (2022)
Most financial time series have non-normal features such as heavy tails, excess kurtosis and skewness. Financial asset returns volatility is also a significant measure in financial decisions, option pricing, risk management, and portfolio selection,
Externí odkaz:
https://doaj.org/article/f3ea80332bb94da6859e2f1a3c94202a
Publikováno v:
Risk Management Magazine, Vol 16, Iss 1, Pp 43-57 (2021)
This study proposes an algorithmic approach for selecting among different Value at Risk (VaR) estimation methods. The proposed metaheuristic, denominated as “Commitment Machine” (CM), has a strong focus on assets cross-correlation and allows to m
Externí odkaz:
https://doaj.org/article/86fa992d2021498191c9b4ab8537dd6a
Autor:
LaBarr, Aric David
Thesis (Ph.D.)--North Carolina State University.
Includes vita. Includes bibliographical references (p. 91-94).
Includes vita. Includes bibliographical references (p. 91-94).
Externí odkaz:
http://www.lib.ncsu.edu/resolver/1840.16/6015
Autor:
Pereira, Manoel F. de S.1 mpereira_tr@hotmail.com, Veiga, Alvaro2 alvf@ele.puc-rio.br
Publikováno v:
Brazilian Review of Finance / Revista Brasileira de Finanças. Jul-Sep2023, Vol. 21 Issue 3, p73-98. 26p.
Akademický článek
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Autor:
Tzeng, Kae-Yih1 (AUTHOR) D10218001@mail.ntust.edu.tw, Su, Yi-Kai2 (AUTHOR)
Publikováno v:
North American Journal of Economics & Finance. Sep2024, Vol. 74, pN.PAG-N.PAG. 1p.
Autor:
Arzhenovski, Sergey1, Churikova, Svetlana2
Publikováno v:
International Multidisciplinary Scientific Conference on Social Sciences & Arts SGEM. 2015, p147-152. 6p.