Search Results - subject:"Generalized AutoRegressive Conditional Heteroskedasticity"

Market interdependence and volatility transmission among major crops:

Gardebroek, Cornelis; Hernandez, Manuel A.; Robles, Miguel - International Food Policy Research Institute (IFPRI) - 2014

agricultural commodities. We follow a Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) approach to …

Persistent link: https://www.econbiz.de/10010850569

Essentials of time series for financial applications

Guidolin, Massimo; Pedio, Manuela - 2018

Intro; Title page; Table of Contents; Copyright; List of Figures; List of Tables; Preface; Chapter 1. Linear Regression Model; Abstract; 1.1 Inference in Linear Regression Models; 1.2 Testing for Violations of the Linear Regression Framework; 1.3 Specifying the Regressors; 1.4 Issues With...

Persistent link: https://www.econbiz.de/10012384956

Structural changr and efficiency in the Indian stock market : an econometric analysis

Chattopadhyay, Arup Kumar; Rakshit, Debdas; Chatterjee, … - In: Research bulletin / The Institute of Cost Accountants … 44 (2018) 2, pp. 81-94

Persistent link: https://www.econbiz.de/10012130188

China, Japan and the US stock markets and the global financial crisis

Zhang, Yan - In: Asia-Pacific financial markets 25 (2018) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10012032981

Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods

Liu, Shouwei; Tse, Yiu-Kuen - School of Economics, Singapore Management University - 2012

monthly volatility, and empirically compare this method against the re- alized volatility (RV) and generalized autoregressive … conditional heteroskedasticity (GARCH) methods. Our Monte Carlo results show that the ACD-ICV method performs well against the …

Persistent link: https://www.econbiz.de/10010698142

FX volatility impact on Indian stock market : an empirical investigation

Aravind M - In: Vision : the journal of business perspective 21 (2017) 3, pp. 284-294

Persistent link: https://www.econbiz.de/10011833400

Value At Risk (VaR) Ditinjau Dengan Menggunakan Teknikal Analisis

Yuraida - 2011

past.Through forecasting model GARCH-M type (Generalized Autoregressive Conditional Heteroskedasticity in Mean) can be …

Persistent link: https://www.econbiz.de/10009464488

Forecasting time‐varying covariance with a robust Bayesian threshold model

Chih‐Chiang Wu; Lee, Jack C. - In: Journal of Forecasting 30 (2011) 5, pp. 451-468

This paper proposes a robust multivariate threshold vector autoregressive model with generalized autoregressive conditional heteroskedasticities and dynamic conditional correlations to describe conditional mean, volatility and correlation asymmetries in financial markets. In addition, the...

Persistent link: https://www.econbiz.de/10010990719

What mitigates economic growth volatility in Morocco? : remittances or FDI

Bouoiyour, Jamal; Selmi, Refk; Miftah, Amal - In: Journal of economic integration 31 (2016) 1, pp. 65-102

Persistent link: https://www.econbiz.de/10011451682

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 875-887

Persistent link: https://www.econbiz.de/10011621857