[PDF] Top 20 Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
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Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
... (2009). Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian ...accordance ... See full document
22
Modeling and Forecasting Volatility of the Malaysian Stock Markets
... forecast models comparison ...the GARCH, EGARCH and NAGARCH models and also introduce different densities (Normal, Skew normal, Student-t, Skew ... See full document
7
Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?
... asymmetric GARCH type model (1,1) such as APARCH (1,1) seem to adequately capture the dynamic of the future volatilities across 7 of 10 ...coincides with Poon and Granger’s (2003) conclusion that ... See full document
55
Using complex networks to characterize international business cycles.
... G7 and OECD ...By using them, we can obtain directed networks allows us to determine the relative influence of different countries on the global economy ...G7 and OECD ... See full document
13
A new approach to bad news effects on volatility: the Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)
... type models often fail to fully capture the nonlinearity in stock ...regimes and to allow the dynamic behaviour of volatility to depend on the regime that occurs at any given point in ... See full document
24
DYNAMIC APERIODIC NEURAL NETWORK FOR TIME SERIES PREDICTION
... We ran through all eight markets' stock index data using out myopic KAII neural network and we got different results from different markets. Most of the predicti[r] ... See full document
16
Hedging options in a garch environment: testing the term structure of stochastic volatility models
... Hedging tests select the Constant Volatility model using a gamma hedge, followed by the GARCH components model as best at forecasting the term structure. It is argl.1ed that the sur[r] ... See full document
36
METODOLOGIA VALUE-AT-RISK: APLICAÇÃO A UMA CARTEIRA DE OBRIGAÇÕES DE TESOURO PORTUGUESAS
... Practices and Principals” que, para além de dar inicio a uma maior enfase na Gestão de Risco, tinha três objetivos: desmistificar o uso de derivados, rever os riscos existentes e saber como os mesmos estavam a ser ... See full document
44
Comparação das Distribuições α-estável, Normal, t de Student e Laplace Assimétricas
... a normal assimétrica (Azzalini, 1985) tem recebido mais atenção dos pesquisadores (Genton et ...α-estável, normal , t de Student e Laplace ... See full document
116
H OW EFFICIENT IS THEP ORTUGUESES TOCK
... 80s and is an interdisciplinary field of computer ...Han and Kamber (2006), to «the process of discovering interesting knowledge from large amounts of data stored in databases, data warehouses, or other ... See full document
48
Rev. contab. finanç. vol.28 número75
... range-based volatility modeling for identifying and forecasting conditional volatility models based on ...maximum and minimum price of an asset within a time interval, as an ... See full document
16
Asset float and speculative bubbles
... implications consistent with the behavior of internet stock prices during the late nineties, such as the bubble, share turnover and volatility decreasing with ftoat and stock prices[r] ... See full document
42
Prod. vol.27
... propose and try out a model to assess the Industrial Engineering students’ satisfaction, with a focus on private higher education ...the Student Questionnaire 2011 National Exam for the Assessment of ... See full document
13
Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries
... week and month of the year effects in seventeen European stock market indexes in the period ...specifications and tests used in previous work, and propose a simpler specification, usable for ... See full document
32
A study on relationship between communication models and crisis management in Tehran’s firefighting department
... communication models and crisis management in city of Tehran municipal firefighting ...questionnaire with 21 questions, distributes it among 400 people who worked for firefighting department ... See full document
6
Excess volatility of stock prices and knightian uncertainty
... we suggest this type of behaviour under uncertainty as a possible explanation of the high volatility of stock market prices.!. Since variances art: non- nega tive and th[r] ... See full document
16
Testing the hypothesis of contagion using multivariate volatility models
... the models, whose estimates are shown in Table 4, have smaller information criteria than the models described in Table ...Student’s t BEKK and DCC-E-GJR models provide a better ... See full document
32
Pricing of Volatility Derivatives using 3/2-Stochastic Models
... for volatility and variance swaps, or the VIX for VIX options), b and k are constant and dZ, here and elsewhere in the paper denotes an increment in a Wiener process Z with ... See full document
6
Egg capsules of the little skate, Psammobatis extenta (Garman, 1913) (Chondrichthyes, Rajidae)
... species with very conservative morphology (EBERT and COMPAGNO, ...identification and provide relevant information concerning their reproductive biology (ODDONE et ...1932, and P. lentiginosa ... See full document
4
How the U.S. capital markets volatility interacts with economic growth
... market volatility may reduce future economic growth, because it reflects uncertainty about future cash flows and discount rates, hence providing important information about future economic ...capital ... See full document
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