نتایج جستجو برای: mgarch bekk
تعداد نتایج: 339 فیلتر نتایج به سال:
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...
T. Antoni a, W. D. Apel b, A.F. Badea a,1,K. Bekk b, A. Bercuci b, H. Blümer b,a, H. Bozdog c, I. M. Brancus c, C. Büttner a, A. Chilingarian d, K. Daumiller a, P. Doll b, J. Engler b, F. Feßler b, H. J. Gils b, R. Glasstetter a, R. Haeusler a, A. Haungs b, D. Heck b, J. R. Hörandel a, A. Iwan a,2,K.-H. Kampert a,b, H. O. Klages b, G. Maier b, H.-J. Mathes b, H. J. Mayer b, J. Milke a, M. Mülle...
Radio detection of cosmic ray air showers with LOPES T. Huege, W.D. Apel, T. Asch, A.F. Badea, L. Bähren, K. Bekk, A. Bercuci, M. Bertaina, P.L. Biermann , J. Blümer, H. Bozdog, I.M. Brancus, S. Buitink, M. Brüggemann, P. Buchholz, H. Butcher, A. Chiavassa, F. Cossavella, K. Daumiller, F. Di Pierro, P. Doll, R. Engel, H. Falcke, H. Gemmeke, P.L. Ghia, R. Glasstetter, C. Grupen, A. Hakenjos, A. ...
X iv :a st ro -p h/ 04 12 61 0v 1 2 3 D ec 2 00 4 KASCADE: Astrophysical results and tests of hadronic interaction models A. Haungs, T. Antoni, W.D. Apel, A.F. Badea, K. Bekk, A. Bercuci, H. Blümer, H. Bozdog, I.M. Brancus, C. Büttner, A. Chilingarian, K. Daumiller, P. Doll, R. Engel, J. Engler, F. Feßler, H.J. Gils, R. Glasstetter, D. Heck, J.R. Hörandel, K.-H. Kampert, H.O. Klages, G. Maier, ...
In this paper, we investigate cross-correlations between nonferrousmetal spot and futures markets using detrended cross-correlation analysis (DCCA). We find the existence of significant cross-correlations for both return and volatility series. The DCCA-based crosscorrelation coefficients are very high and decrease with the futures maturity increases. Using the multifractal extension of DCCA, th...
This paper investigates how China’s stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China’s regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The res...
W.D. Apel, J. C. Arteaga, L. Bähren, K. Bekk, M. Bertaina, P. L. Biermann, J. Blümer, H. Bozdog, I.M. Brancus, P. Buchholz, E. Cantoni, A. Chiavassa, K. Daumiller, V. de Souza, F. Di Pierro, P. Doll, R. Engel, H. Falcke, M. Finger, B. Fuchs, D. Fuhrmann, H. Gemmeke, C. Grupen, A. Haungs, D. Heck, J. R. Hörandel, A. Horneffer, D. Huber, T. Huege, P. G. Isar, K.-H. Kampert, D. Kang, O. Krömer, J....
We employ a multivariate BEKK GARCH model which allows news to affect conditional volatility in an asymmetric manner. The asymmetric model outperforms the standard symmetric model, implying that efficient financial decision makers should not treat good and bad news as homogenous. We estimate the conditional variance and covariance of the Japanese yen, Swiss franc and British pound vis-à-vis the...
نوسان قیمت در یک سطح بازار مانند سرمزرعه گوشت گوسفند علاوه بر فاکتورهایی که مستقیماً بر نوسان قیمت سرمزرعه اثر دارند، به فاکتورهای اثرگذار بر نوسان قیمتی نهاده های تولیدی و قیمت خرده فروشی گوشت گوسفند نیز بستگی دارد. از این رو هدف از مطالعه حاضر، بررسی و تحلیل اثرات سرریز نوسان قیمت در سطوح عمودی بازارهای گوشت گوسفند استان آذربایجان شرقی، بین سه سطح نهاده های تولیدی، سطح خرده فروشی و سطح سر...
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