نتایج جستجو برای: bekk framework model
تعداد نتایج: 2425348 فیلتر نتایج به سال:
writing an academic article requires the researchers to provide support for their works by learning how to cite the works of others. various studies regarding the analysis of citation in m.a theses have been done, while little work has been done on comparison of citations among elt scopus journal articles, and so the dearth of research in this area demands for further investigation into citatio...
Hedging the risk of crude oil prices fluctuation for countries such as Iran that are highly dependent on oil export earnings is one of the important subject to discuss. In this regard, the main purpose of this study is to calculate and analyze the optimal dynamic hedging ratio for Iranian light and heavy crude oil spot prices based on one-month to four-month cross hedge contracts in New York St...
ارزیابی کارایی پوشش ریسک متقاطع نوسانات قیمت نفت خام سبک ایران با استفاده از قراردادهای یک ماهه تا چهارماهه بازار بورس نیویورک (نایمکس) با استفاده از الگوهایmd-garch، bekk-garch، ccc-garch، ecm-md، ecm-bekk، ecm-ccc می پردازد. با تخمین نسبت پوشش ریسک بهینه پویا از طریق این الگوها برای قیمت های نفتخام هفتگی در بازه ژانویه 2000 تا ژانویه 2012 این نتیجه حاصل شد که با استفاده از الگوهای چندمتغیره g...
The study is an experiential assessment on the ability of Indian equity options market to resist adverse impacts that arise from unexpected changes in underlying market, focusing two distinct investor perceptions within optimistic dimension viz. recovery phase and growth phase, which were evident scenario post period financial upheavals due global economic crisis during latter half 2000s. risk ...
this research has been designed in order to provide an appropriate methodology for business model change and update based on applying new information and communication technologies such as mobile technology in an organization. in this way, after investigation of all related references in the field of business model, ict change, business model change and applying mobile technology in organizatio...
A. Haungs T. Antoni, W.D. Apel, 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 H.J. Mathes, H.J. Mayer, J. Milke, M. Müller R. Obenland, J. Oehlschläger, S. Ostapchenko, M. Petcu S. Plewnia, H. Rebel, A. Riss...
J. Milke, 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, A. Haungs, D. Heck, J.R. Hörandel K.-H. Kampert, H.O. Klages, G. Maier, H.J. Mathes H.J. Mayer, M. Müller, R. Obenland, J. Oehlschläger S. Ostapchenko, M. Petcu, S. Plewnia, H. Rebel, A. Ri...
In this paper we propose a new multivariate GARCH model with timevarying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By impos...
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