ARTICLE
|
doi:10.20944/preprints202406.1434.v1
Subject:
Business, Economics And Management,
Econometrics And Statistics
Keywords:
SOFIX; forecasting; modeling; GARCH; EGARCH; IGARCH; Component GARCH; GJR-GARCH
Online: 20 June 2024 (14:43:08 CEST)
ARTICLE
|
doi:10.20944/preprints202203.0281.v1
Subject:
Business, Economics And Management,
Econometrics And Statistics
Keywords:
COVID-19; GARCH; ARCH; MSDR; Volatility
Online: 21 March 2022 (09:14:26 CET)
ARTICLE
|
doi:10.20944/preprints201909.0280.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
volatility; risk, garch models; nasdaq-100
Online: 25 September 2019 (09:09:06 CEST)
ARTICLE
|
doi:10.20944/preprints202401.1972.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
Commodity Market, GARCH-MIDAS, Climate Policy Uncertainty
Online: 29 January 2024 (08:53:46 CET)
ARTICLE
|
doi:10.20944/preprints201902.0039.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
Volatility; Stocks; Persistence; Exchange Rate, Inflation Rate; Financial Time Series; Generalized Autoregressive Conditional Heteroscedasticity (GARCH); Multivariate GARCH (MGARCH)
Online: 4 February 2019 (14:56:07 CET)
ARTICLE
|
doi:10.20944/preprints201811.0381.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
financial time series; autocorrelation; models; GARCH; RMSE; MAE
Online: 16 November 2018 (07:11:22 CET)
ARTICLE
|
doi:10.20944/preprints201808.0383.v1
Subject:
Business, Economics And Management,
Marketing
Keywords:
tourism demand, climate change, climate volatility, GARCH model
Online: 21 August 2018 (15:48:14 CEST)
ARTICLE
|
doi:10.20944/preprints201703.0117.v1
Subject:
Business, Economics And Management,
Econometrics And Statistics
Keywords:
goodness-of-fit; time series; copulas; GARCH models
Online: 16 March 2017 (09:38:24 CET)
ARTICLE
|
doi:10.20944/preprints202103.0628.v1
Subject:
Computer Science And Mathematics,
Algebra And Number Theory
Keywords:
Volatility; COVID-19 Pandemic; GARCH models; Euro area stock indices.
Online: 25 March 2021 (14:44:00 CET)
ARTICLE
|
doi:10.20944/preprints201904.0272.v1
Subject:
Environmental And Earth Sciences,
Environmental Science
Keywords:
Coffee Output; Climate Change; Commodity Price Volatility; GARCH; ARCH; FMOLS
Online: 24 April 2019 (12:40:21 CEST)
ARTICLE
|
doi:10.20944/preprints201811.0243.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Event Studies, the Fed, GARCH, Monetary Policy, Mortgage, Quantitative Easing
Online: 9 November 2018 (10:22:58 CET)
ARTICLE
|
doi:10.20944/preprints202405.0905.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
calendar anomalies; cryptocurrency; day-of-the-week effect; GARCH; volatility; forecasting
Online: 14 May 2024 (11:14:11 CEST)
ARTICLE
|
doi:10.20944/preprints202106.0444.v1
Subject:
Business, Economics And Management,
Accounting And Taxation
Keywords:
Stock Market; Financial Markets; News Model; KSE 100 Index; ARCH/GARCH; OLS
Online: 16 June 2021 (12:40:07 CEST)
ARTICLE
|
doi:10.20944/preprints202402.0028.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Stock return volatility; COVID-19; Uncertainty; GARCH; Bias-corrected Wavelet coherence analysis; ARDL
Online: 2 February 2024 (06:03:48 CET)
ARTICLE
|
doi:10.20944/preprints202306.0935.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
Cryptocurrencies stocks; safe haven; co-movement; VAR-DCC-GARCH; wavelet trnsform; wavelet coherency
Online: 13 June 2023 (12:15:00 CEST)
ARTICLE
|
doi:10.20944/preprints201608.0212.v1
Subject:
Business, Economics And Management,
Economics
Keywords:
FDI; GARCH; real exchange rate and price volatility; Latin America and the Caribbean
Online: 26 August 2016 (09:59:32 CEST)
ARTICLE
|
doi:10.20944/preprints202407.0233.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
Multivariate GARCH; DCC model; EGARCH model; Time-varying correlation; volatility; Stock market; portfolio diversification
Online: 2 July 2024 (11:41:16 CEST)
ARTICLE
|
doi:10.20944/preprints201812.0043.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
volatility; returns; stocks; total petroleum; akaike information criterion (AIC), GARCH; value-at-risk (VaR), backtesting
Online: 4 December 2018 (03:16:48 CET)
ARTICLE
|
doi:10.20944/preprints202405.1248.v1
Subject:
Business, Economics And Management,
Finance
Keywords:
Historical Volatility; Pre-emerging Markets; ARCH-GARCH Models; Deep Learning Approaches; LSTM Network; 1D-CNN Network
Online: 20 May 2024 (16:08:27 CEST)
ARTICLE
|
doi:10.20944/preprints201912.0163.v4
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
ARCH; ARMA; functional data; functional principal components; functional time series; GARCH; invertible linear processes; parameter estimation; stationary solutions; Yule-Walker equation
Online: 23 September 2020 (04:32:09 CEST)
ARTICLE
|
doi:10.20944/preprints201903.0071.v1
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
Returns, Stocks, Guaranty Trust (GT) Bank, Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Persistence, Half-life, Volatility, Backtesting
Online: 6 March 2019 (10:40:29 CET)