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[PDF] Top 20 Testing the hypothesis of contagion using multivariate volatility models

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Testing the hypothesis of contagion using multivariate volatility models

Testing the hypothesis of contagion using multivariate volatility models

... some multivariate GARCH models described in the previous section to assess to what extent the ...terms of returns and ...assess the existence of contagion among ... See full document

32

The Detection of Metabolite-Mediated Gene Module Co-Expression Using Multivariate Linear Models.

The Detection of Metabolite-Mediated Gene Module Co-Expression Using Multivariate Linear Models.

... integrates the simulation results for the investigation of the Type I error ...probability. The linear-regression approach fails to control the Type I error ...When the ... See full document

17

Pricing of Volatility Derivatives using 3/2-Stochastic Models

Pricing of Volatility Derivatives using 3/2-Stochastic Models

... performances of the nested models 1-8 are bench- marked against the larger unrestricted model (33) using the estimation technique of Generalised Method of Moments ... See full document

6

Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change

Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change

... not multivariate cointegration models with structural change can better describe the term structure of interest rate data for the period from 1995 to ...2006. The work uses ... See full document

16

The impact of the 2008 and 2010 financial crises on international stock markets: contagion and long memory

The impact of the 2008 and 2010 financial crises on international stock markets: contagion and long memory

... Gaussian models which, as the literature has shown, have some limitations in financial time series, given the features which characterize some of these series, such as heavy tails or ... See full document

134

Fast bootstrapping and permutation testing for assessing reproducibility and interpretability of multivariate fMRI decoding models.

Fast bootstrapping and permutation testing for assessing reproducibility and interpretability of multivariate fMRI decoding models.

... decoding models are increasingly being applied to functional magnetic imaging (fMRI) data to interpret the distributed neural activity in the human ...These models are typically formulated to ... See full document

11

Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

... model the conditional returns taking into account thefact that they ...variety of popular models of the ARCH class. From the results of this exercise, some stylized facts ... See full document

50

Estimation and hypothesis testing in mixed linear models

Estimation and hypothesis testing in mixed linear models

... in hypothesis tests for linear mixed ...model the nullity of variance components associated to the main effects can not be tested with an F ...and the Satterthwaite’s approximation, but ... See full document

106

Hypothesis testing of genetic similarity based on RAPD data using Mantel tests and model matrices

Hypothesis testing of genetic similarity based on RAPD data using Mantel tests and model matrices

... at the populational level, especially those generating clinal or re- ticulated patterns of genetic variation across geographic space, always produce patterns of population differentia- tion that are ... See full document

5

Procedure to evaluate multivariate statistical process control using ARIMA-ARCH models

Procedure to evaluate multivariate statistical process control using ARIMA-ARCH models

... in the use of alternative techniques to evaluate a productive ...a multivariate productive process using residuals obtained from the principal component scores modeled by the ... See full document

12

Hedging options in a garch environment: testing the term structure of stochastic volatility models

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

Hypothesis testing in econometric models

Hypothesis testing in econometric models

... introduces the model with one endogenous regressor vari- able, multiple exogenous regressor variables, and multiple ...on the one-sided conditional t-tests. Section 1.5 …nds the power envelope for ... See full document

76

The application of optical measurements for the determination of accuracy of gear wheels casts manufactured in the RT/RP process

The application of optical measurements for the determination of accuracy of gear wheels casts manufactured in the RT/RP process

... preparation of the casting process included heating the mould in 70°C, which caused water to ...Next, the mould parts were joined together and filled with an aluminum ...After the alloy ... See full document

4

Diet of two large sympatric teleosts, the ling (Genypterus blacodes) and hake (Merluccius australis).

Diet of two large sympatric teleosts, the ling (Genypterus blacodes) and hake (Merluccius australis).

... ecology. The cluster analysis showed that intraspecific diet similarities were greater than interspecific diet ...but the dominant macrourid prey species were different in ling and ...range of ... See full document

11

Psicol. Reflex. Crit.  vol.30

Psicol. Reflex. Crit. vol.30

... version of a set of measures for achievement goals, emotion reappraisal, perception of successful agency, life satisfaction, and social ...ensure the accuracy of the translation, ... See full document

12

Selection of the temperature of casting the bronzes to plaster moulds

Selection of the temperature of casting the bronzes to plaster moulds

... from the temperature of casting the bronze to the mould on Figure ...From the introduced cross - section of casts from the probe TDAg, it results that it together with ... See full document

6

Forecasting volatility using GARCH models

Forecasting volatility using GARCH models

... purpose of these research is to forecast volatility using different GARCH (General autoregressive conditional heteroeskedasticity) models in order to test which model has best forecasting ... See full document

58

J. Appl. Oral Sci.  vol.11 número3

J. Appl. Oral Sci. vol.11 número3

... one of its primary goals is to maintain the sanitation achieved on the previous steps, allowing the periapical tissues to ...sealing of the root canals is crucial. The ... See full document

7

VALUATION OF VOLATILITY MODELS FOR FORECASTINGV ALUE AT

VALUATION OF VOLATILITY MODELS FOR FORECASTINGV ALUE AT

... for the computation of the VaR and ES of a certain ...obtain the relevant set of VaR and ES values for ...is the sample size of the rolling ...for the ... See full document

63

Modeling long memory in the EU stock market: evidence from the STOXX 50 returns

Modeling long memory in the EU stock market: evidence from the STOXX 50 returns

... on the ARCH (Autoregressive Conditional Heteroskedasticity) type models to capture persistence in time ...particular, the GARCH (General ARCH) process introduced by Bollerslev (1986) has become quite ... See full document

7

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