Zobrazeno 1 - 10
of 2 265
pro vyhledávání: '"Multivariate garch"'
Autor:
Tai, Chu-Sheng
Publikováno v:
Managerial Finance, 2024, Vol. 50, Issue 8, pp. 1444-1461.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/MF-02-2024-0135
Publikováno v:
Stats, Vol 7, Iss 3, Pp 761-776 (2024)
The extent of correlation or co-movement among the returns of developed and emerging stock markets remains pivotal for efficiently diversifying global portfolios. This correlation is prone to variation over time as a consequence of escalating economi
Externí odkaz:
https://doaj.org/article/a03cd3721a99402880502d40a53f2498
Publikováno v:
foresight, 2023, Vol. 26, Issue 1, pp. 84-97.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/FS-09-2022-0100
Autor:
Zeng, Hongjun, Ahmed, Abdullahi D.
Publikováno v:
International Journal of Managerial Finance, 2022, Vol. 19, Issue 4, pp. 772-802.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/IJMF-03-2021-0161
Publikováno v:
Quantitative Finance and Economics, Vol 7, Iss 3, Pp 491-507 (2023)
Assuming that stock prices follow a multi-fractional Brownian motion, we estimated a time-varying Hurst exponent ($ h_t $). The Hurst value can be considered a relative volatility measure and has been recently used to estimate market inefficiency. Th
Externí odkaz:
https://doaj.org/article/79918ae8fb8d4a48b9d4619c6384b161
Publikováno v:
International Journal of Emerging Markets, 2021, Vol. 18, Issue 4, pp. 978-1006.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/IJOEM-03-2020-0264
Publikováno v:
Risks, Vol 12, Iss 2, p 34 (2024)
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK represent
Externí odkaz:
https://doaj.org/article/fb051981c390414bb930e09f9f86e751
Autor:
Chancharat, Surachai, Butda, Julaluk
Publikováno v:
Environmental, Social, and Governance Perspectives on Economic Development in Asia
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