نتایج جستجو برای: keywords garch model

تعداد نتایج: 1852069  

Journal: :Economic Research-Ekonomska Istraživanja 2010
CiprianNecula,

Journal: :Brazilian Journal of Probability and Statistics 2018
Ghadah A.Alomani, Abdulhamid A.Alzaid, Maha A.Omair,

2004
Xiangdong Long,

To capture the missed information in the standardized errors by parametric multivariate generalized autoregressive conditional heteroskedasticity (MV-GARCH) model, we propose a new semiparametric MV-GARCH (SM-GARCH) model. This SM-GARCH model is a twostep model: firstly estimating parametric MV-GARCH model, then using nonparametric skills to model the conditional covariance matrix of the standa...

Journal: :SSRN Electronic Journal 2016
PeterMalec,

2005
Giovanni De Luca, Marc G. Genton, Nicola Loperfido,

Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news. As a result, we assume that European stock market returns are affected by endogenous and exogenous ...

Journal: :Journal of Business & Economic Statistics 2019
Wilson YeChen, Richard H.Gerlach,

Journal: :Jurnal Ekonomi dan Pembangunan Indonesia 2007
Nachrowi DjaIaINachrowi, HardiusUsman,

Journal: :Journal of Business & Financial Affairs 2013
VivianeY. Naimy,

Journal: :Mathematical and Computer Modelling 2001
H.A.Hauksson, S.T.Rachev,

Journal: :Computers & Mathematics with Applications 2008
M.Ghahramani, A.Thavaneswaran,

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