نتایج جستجو برای: keywords garch model

تعداد نتایج: 1851855  

Journal: :Montenegrin Journal of Economics 2020
EndriEndri, ZaenalAbidin, TorangSimanjuntak, ImmasNurhayati,

Journal: :Victorian Literature and Culture 2018
RachelAblow, DanielHack,

Journal: :Journal of Time Series Analysis 2019
SondreHølleland, Hans ArnfinnKarlsen,

Journal: :Applied Mathematics 2014
AbdelhalimBouchemella, Fatima ZahraBenmostefa,

Journal: :Sustainability 2021
BarbaraBigliardi, SerenaFilippelli,

2016
Peter Malec,

We propose a multiplicative component model for intraday volatility. The model consists of a seasonality factor, as well as a semiparametric and parametric component. The former captures the well-documented intraday seasonality of volatility, while the latter two account for the impact of the state of the limit order book, utilizing an additive structure, and fluctuations around this state by m...

Journal: :Journal of Forecasting 2008
MichaelMcaleer, Bernardoda Veiga,

Journal: :Computational Statistics & Data Analysis 2014
André A. P. Santos, Guilherme V. Moura,

Factor models are well established as promising alternatives to obtain covariance matrices of portfolios containing a very large number of assets. In this paper, we consider a novel multivariate factor GARCH specification with a flexible modeling strategy for the common factors, for the individual assets, and for the factor loads. We apply the proposed model to obtain minimum variance portfolio...

Journal: :SSRN Electronic Journal 1998
Steve L.Heston, SaikatNandi,

Journal: :Politická ekonomie 2010
EduardBaumöhl, MáriaFarkašovská, TomášVýrost,

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