نتایج جستجو برای: bekk framework model
تعداد نتایج: 2425348 فیلتر نتایج به سال:
This paper proposes new methods for the econometric analysis of outlier contaminated multivariate conditionally heteroscedastic time series. Robust alternatives to the Gaussian quasi-maximum likelihood estimator are presented. Under elliptical symmetry of the innovation vector, consistency results for M-estimation of the general conditional heteroscedasticity model are obtained. We also propose...
abstract deviation or in other words committing a crime is literally a social problem. this research that was conducted in 1389 and 1390 has tried to investigate the causes of crimes committed by young male inmates qazvin central prison and effective variables on their tendency to deviation. accordingly after collecting theoretical framework and offering theoretical model including both hirsch...
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...
Our research explores how the COVID-19 pandemic has influenced asymmetric spillover effects in oil and gold markets. Through a VAR(p)-BEKK-AGARCH(1,1) model fitted to daily price data, 1) we find evidence of only from market that this effect is stronger during 2) conclude negative information shock larger impact on return volatility compared positive intensified pandemic.
JEL classification: E32 C32 How similar is the price behavior of oil, natural gas, and coal? Are there any interactions among these three fuel prices and their volatilities? Using the Yatchew and Dimitropoulos (2016) annual data for the United States, over the period from 1870 to 2014, and state-of-the-art econometric methodology, we explore for spillovers and interactions among the three energ...
background: iran is one of the countries that has ratified the world health organization framework convention of tobacco control (who-fctc), and has implemented a series of tobacco control interventions including the comprehensive tobacco control law. enforcement of this legislation and assessment of its outcome requires a dedicated evaluation system. this study aimed to develop a generic model...
China’s introduction of CSI300 futures in 2010 has aroused widespread attention to whether the stock index futures market has effectively stabilized price fluctuations of its spot market in the past four years. Since the prices of CSI300 futures and CSI300 contain numerous noises and fluctuate drastically over time, this paper applies discrete wavelet transform to denoise these series by decomp...
the outcome of this research is a practical framework for “idea generation phase of new product development process based on customer knowledge”. in continue, the mentioned framework implemented in a part of iran n.a.b market and result in segmenting and profiling this market. also, the critical new product attributes and bases of communication message and promotion campaigns extracted. we have...
Abstract A two-step framework to analyze local microstructure variations of paper sheets based on 3D image data is presented. First, a multi-stage workflow efficiently acquires large set highly resolved tomographic data, which enables—in combination with statistical analysis—the quantification and pairwise correlations morphological characteristics length scales ranging from micrometers centime...
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