Search Results - subject:"Generalized autoregressive conditional heteroskedasticity"

Is the best Generalized Autoregressive Conditional Heteroskedasticity(p,q) value-at-risk estimate also the best in reality? : an evidence from Australian interconnected power marke...

Handika, Rangga; Triandaru, Sigit - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 814-821

Persistent link: https://www.econbiz.de/10011550637

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015

procedures. A Monte Carlo study is conducted for time-varying parameter models such as generalized autoregressive conditional … heteroskedasticity and autoregressive conditional duration models. Our results show clear differences between the actual coverage …

Persistent link: https://www.econbiz.de/10010491409

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - Tinbergen Instituut - 2015

Persistent link: https://www.econbiz.de/10011256671

A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence...

Belhaj, Fethi; Abaoub, Ezzeddine - In: International Journal of Economics and Financial Issues 5 (2015) 2, pp. 354-364

generalized autoregressive conditional heteroskedasticity (GARCH (1,1)) model. Secondly, according to the theoretical predictions …

Persistent link: https://www.econbiz.de/10011268784

In-sample bounds for time-varying parameters of observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

Persistent link: https://www.econbiz.de/10010484891

A generalized autoregressive conditional heteroskedasticity examination of the relationship between trading volume and conditional volatility in the Tunisian stock market : evidenc...

Belhaj, Fethi; Abaoub, Ezzeddine - In: International journal of economics and financial issues … 5 (2015) 2, pp. 354-364

Persistent link: https://www.econbiz.de/10011453520

Modeling the dynamics of large conditional heteroskedastic covariance matrices

Ahmed, Naeem - 2015

Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and analyzing the dynamics of this volatility. The co-movements in financial markets and financial assets around the globe have recently become the main area of interest of financial...

Persistent link: https://www.econbiz.de/10011459899

The effect of financial and macroeconomic factors on the oil market

Sariannidis, Nikolaos; Galyfianakis, Georgios; … - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 4, pp. 1084-1091

Persistent link: https://www.econbiz.de/10011456477

Real exchange rate returns and real stock price returns in the stock market of Malaysia

Wong, Hock Tsen - In: The Singapore economic review : journal of the Economic … 64 (2019) 5, pp. 1319-1349

Persistent link: https://www.econbiz.de/10012295208

Applied time series analysis : a practical guide to modeling and forecasting

Mills, Terence C. - 2019

Persistent link: https://www.econbiz.de/10012384919