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183 results on '"garch"'

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1. Influence of political stability on the stock market returns and volatility: GARCH and EGARCH approach.

2. Is Bitcoin ready to be a widespread payment method? Using price volatility and setting strategies for merchants.

3. M-Quantile Estimation for GARCH Models.

4. Simmering tensions on the Russia–Ukraine border and natural gas futures prices: identifying the impact using new hybrid GARCH.

5. GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks.

6. Econometric and stochastic analysis of stock price before and during COVID-19 in India.

7. Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing.

8. Forecasting volatility by using wavelet transform, ARIMA and GARCH models.

9. Do Monetary Policy Shocks Have Asymmetric Effects on Stock Market?

10. Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models.

11. Spatial correlation in weather forecast accuracy: a functional time series approach.

12. Development of decomposition-based model using Copula-GARCH approach to simulate instantaneous peak discharge.

13. Hedging strategies among financial markets: the case of green and brown assets.

14. Predicting the returns of the US real estate investment trust market: evidence from the group method of data handling neural network.

15. CO2 Emission Allowances Risk Prediction with GAS and GARCH Models.

16. An Application of the IFM Method for the Risk Assessment of Financial Instruments.

17. Model-based vs. agnostic methods for the prediction of time-varying covariance matrices.

18. VaR as a risk management framework for the spot and futures tanker markets.

19. Impact of COVID-19 effective reproductive rate on cryptocurrency.

20. Risk premia in the term structure of crude oil futures: long-run and short-run volatility components.

21. Volatility spillover among sector equity returns under structural breaks.

22. A linear/non-linear hybrid time-series model to investigate the depletion of inland water bodies.

23. Political Stability and the Effectiveness of Currency Based Macro Prudential Measures.

24. Volatility and asymmetric dependence in Central and East European stock markets.

25. Inflation volatility and inflation in the wake of the great recession.

26. Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid.

27. Asymmetric dependence structures between emission allowances and energy markets: new evidence from China's emissions trading scheme pilots.

28. On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting.

29. Realized volatility and jump testing in the Japanese electricity spot market.

30. Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis.

31. Forecasting Financial Returns Volatility: A GARCH-SVR Model.

32. Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares.

33. Asymmetric GARCH type models for asymmetric volatility characteristics analysis and wind power forecasting.

34. Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks.

35. Two-sided exponential–geometric distribution: inference and volatility modeling.

36. A Stochastic Model for Ice Core Time Series.

37. Exchange rate exposure revisited in Malaysia: a tale of two measures.

38. The Rupee Odyssey.

39. A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization.

40. Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013.

41. Nonparametric Estimation of Volatility and Its Parametric Analogs.

42. Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio.

43. Risk measurement distortion: an improved model of return smoothing.

44. A Hybrid Metaheuristic for the Efficient Solution of GARCH with Trend Models.

45. Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles).

46. Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure.

47. The transmission of international stock market volatilities.

48. A geometric treatment of time-varying volatilities.

49. Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student's t-error distribution.

50. Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility.

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