نتایج جستجو برای: mgarch و cdcc
تعداد نتایج: 760723 فیلتر نتایج به سال:
A Bayesian non-parametric approach for efficient risk management is proposed. A dynamic model is considered where optimal portfolio weights and hedging ratios are adjusted at each period. The covariance matrix of the returns is described using an asymmetric MGARCH model. Restrictive parametric assumptions for the errors are avoided by relying on Bayesian nonparametric methods, which allow for a...
This paper proposes a threshold multivariate GARCH model (Threshold MGARCH) which integrates threshold nonlinearity, mean and volatility asymmetries and time-varying correlation in financial markets. The main feature of this model is that the mean, volatility and time-varying correlation can be governed by different threshold variables with different number of regimes. Estimation is performed u...
This paper studies transmission of international energy price shocks to various sectors in the Australian stock market. We take the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) approach to modeling volatility and gather evidence that energy price shocks transmit to the price indices of various sectors classified by the global industry classification standard (...
صنعت نفت در اقتصاد ایران همواره نقش مهمی داشته و نوسانات قیمتی آن بزرگترین عامل منبع اختلال در اقتصاد کشور محسوب میشود. یکی از بخشهای مهم اقتصاد که میتواند تحت تأثیر این نوسانات بازار سرمایه میباشد؛ بنابراین این مقاله با استفاده از مدل DCC-MGARCH همبستگی شرطی پویا بین قیمت نفت، قیمت طلا و نرخ ارز با شاخص بورس اوراق بهادار تهران را طی دوره فروردین 1380 تا اسفند 1395 مطالعه میکند. در این مط...
Face recognition is important in human identification. The biological recognition technique acts as a good method and broad applications in security areas. This work presents a method to improve the face recognition accuracy using a combination of Principal Component Analysis (PCA), and Wavelet Transform. Wavelet Transform is used to decompose the input image with different levels and rearrange...
صخلملا Infertility affects 15% of couples seeking children worldwide and male factor is evident in about 30-50% of the cases. To assess the effect of sperm chromatin integrity on the outcomes of intracytoplasmic injection, sperm DNA compactness was evaluated by acridine orange staining in 40 fertile and 44 infertile men attending one infertility clinic. The results showed no significant differe...
صخلملا The search for novel anticancer drugs continues. This work includes a preliminary study of the effect of two crude extracts of Greek or Mediterranean sage (Salvia triloba L. f.) on three malignant human cell lines and one malignant murine cell line. A boiling water extract and a methanolic extract were prepared from dried leaves of S. triloba. Yields of extraction were 9.8 and 22.4%, res...
صخلملا This study was designed to evaluate the cytotoxic effect ةتبن قارولأ يئاملا صلختسملا ةيمس ىدم ميقتل ةساردلا هذه تممص ايلاخ ضر MDA-MB231 و FaDu ةدملل ةيناطرسلا ايلاخلا ةجلا يف تابارطضاب صلختسملا اذهب لختسم ص ملا ةتبن قارولأ يئا © 2009 Jordan Journal of Biological Sciences. All rights reserved
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