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Artykuły w czasopismach na temat "GARCH analysis"
Sucarrat, Genaro. "garchx: Flexible and Robust GARCH-X Modeling". R Journal 13, nr 1 (2021): 276. http://dx.doi.org/10.32614/rj-2021-057.
Pełny tekst źródłaTeulon, Frederic, Khaled Guesmi i Saoussen Jebri. "Risk Analysis Of Hedge Funds: A Markov Switching Model Analysis". Journal of Applied Business Research (JABR) 30, nr 1 (30.12.2013): 243. http://dx.doi.org/10.19030/jabr.v30i1.8299.
Pełny tekst źródłaWU, EDMOND H. C., PHILIP L. H. YU i W. K. LI. "VALUE AT RISK ESTIMATION USING INDEPENDENT COMPONENT ANALYSIS-GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ICA-GARCH) MODELS". International Journal of Neural Systems 16, nr 05 (październik 2006): 371–82. http://dx.doi.org/10.1142/s0129065706000779.
Pełny tekst źródłaMa, Dan, Tianxing Yang, Liping Liu i Yi He. "Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model". Complexity 2022 (17.01.2022): 1–10. http://dx.doi.org/10.1155/2022/6176451.
Pełny tekst źródłaLiesl le Roux, Corlise. "Co-Movement and Volatility Analysis of Sugar: Spot and Future". International Journal of Business Administration and Management Research 4, nr 2 (23.06.2018): 1. http://dx.doi.org/10.24178/ijbamr.2018.4.2.01.
Pełny tekst źródłaLi, Yuanbo, Chi Tim Ng i Chun Yip Yau. "GARCH-type factor model". Journal of Multivariate Analysis 190 (lipiec 2022): 105001. http://dx.doi.org/10.1016/j.jmva.2022.105001.
Pełny tekst źródłaYu, Zhi Tao. "Gold Investment Risk Analysis Model Based on Time Series". Advanced Materials Research 926-930 (maj 2014): 3834–37. http://dx.doi.org/10.4028/www.scientific.net/amr.926-930.3834.
Pełny tekst źródłaFu, Sihan, Kexin He, Jialin Li i Zheng Tao. "Exploring Apple’s Stock Price Volatility Using Five GARCH Models". Proceedings of Business and Economic Studies 5, nr 5 (21.10.2022): 137–45. http://dx.doi.org/10.26689/pbes.v5i5.4322.
Pełny tekst źródłaMansur, Iqbal, Steven J. Cochran i David Shaffer. "Foreign Exchange Volatility Shifts and Futures Hedging: An ICSS-GARCH Approach". Review of Pacific Basin Financial Markets and Policies 10, nr 03 (wrzesień 2007): 349–88. http://dx.doi.org/10.1142/s0219091507001112.
Pełny tekst źródłaChoi, S. M., S. Y. Hong, M. S. Choi, J. A. Park, J. S. Baek i S. Y. Hwang. "Analysis of Multivariate-GARCH via DCC Modelling". Korean Journal of Applied Statistics 22, nr 5 (31.10.2009): 995–1005. http://dx.doi.org/10.5351/kjas.2009.22.5.995.
Pełny tekst źródłaRozprawy doktorskie na temat "GARCH analysis"
許偉才 i Wai-choi Hui. "Optimal asset allocation under GARCH model". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31222717.
Pełny tekst źródłaHui, Wai-choi. "Optimal asset allocation under GARCH model /". Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2160616X.
Pełny tekst źródłaKhalilzadeh, Amir Hossein. "Variance Dependent Pricing Kernels in GARCH Models". Thesis, Uppsala universitet, Analys och tillämpad matematik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-180373.
Pełny tekst źródłaSze, Mei Ki. "Mixed portmanteau test for ARMA-GARCH models /". View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20SZE.
Pełny tekst źródłaARAUJO, GUSTAVO SILVA. "ANALYSIS OF THE GARCH OPTION PRICING MODEL USING TELEBRAS CALLS". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2002. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3343@1.
Pełny tekst źródłaThis study attempts to confirm the hypothesis that the GARCH option pricing model reduces some of the well- documented biases associated with the Black & Scholes model, using Telebras calls in the period of July 1995 to June 2000. For this purpose, the prices obtained by the GARCH model are compared with the ones obtained by the Black and Scholes model, and both of them are checked with the market prices. The results of this research indicate that the GARCH model is able to lessen some biases, specially for out-of-the-money options with short maturity. Thus, the GARCH model is an efficient alternative to the Black and Scholes model, mainly for options with low liquidity, in which it is not possible to use the implicit volatility of the Black and Scholes equation.
De, Wet Walter Albert. "A structural GARCH model an application to portfolio risk management /". Pretoria : [s.n.], 2005. http://upetd.up.ac.za/thesis/available/etd-04132005-143137.
Pełny tekst źródłaYuan, Huimin. "Analysis of Fractionally Differenced Processes with Heteroscedastic Errors". Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/18585.
Pełny tekst źródłaFučík, Vojtěch. "Principal component analysis in Finance". Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264205.
Pełny tekst źródłaLiu, Qingfeng. "Econometric methods for market risk analysis : GARCH-type models and diffusion models". Kyoto University, 2007. http://hdl.handle.net/2433/136053.
Pełny tekst źródłaOzkan, Pelin. "Analysis Of Stochastic And Non-stochastic Volatility Models". Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605421/index.pdf.
Pełny tekst źródłaKsiążki na temat "GARCH analysis"
Zaffaroni, Paolo. Contemporaneous aggregation of GARCH processes. Roma: Banca d'Italia, 2002.
Znajdź pełny tekst źródłaAhlstedt, Monica. Analysis of financial risks in a GARCH framework. Helsinki: Bank of Finland, 1998.
Znajdź pełny tekst źródłaFornari, Fabio. Recovering the probability density function of asset prices using GARCH as diffusion approximations. [Roma]: Banca d'Italia, 2001.
Znajdź pełny tekst źródłaGhatak, Subrata. Risk and supply response in Turkish agriculture: An ARCH and GARCH analysis (1950-1990). Leicester: University of Leicester, Department of Economics, 1994.
Znajdź pełny tekst źródłaMikosch, Thomas. Handbook of Financial Time Series. Berlin, Heidelberg: Springer-Verlag Berlin Heidelberg, 2009.
Znajdź pełny tekst źródłaPOSTECH-BSRI SNU-GARC International Conference on Several Complex Variables (1997 Pʻohang-si, Korea). Complex geometric analysis in Pohang: POSTECH-BSRI SNU-GARC International Conference on Several Complex Variables, June 23-27, 1997 at POSTECH. Redaktorzy Kim Kang-Tae 1957- i Krantz Steven G. 1951-. Providence, R.I: American Mathematical Society, 1999.
Znajdź pełny tekst źródłaPaolella, Marc S. Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH. Wiley & Sons, Incorporated, John, 2018.
Znajdź pełny tekst źródłaLinear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH. Wiley & Sons, Limited, John, 2018.
Znajdź pełny tekst źródłaPaolella, Marc S. Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH. Wiley & Sons, Incorporated, John, 2018.
Znajdź pełny tekst źródłaQuintana, José Mario, Carlos Carvalho, James Scott i Thomas Costigliola. Extracting S&P500 and NASDAQ Volatility: The Credit Crisis of 2007–2008. Redaktorzy Anthony O'Hagan i Mike West. Oxford University Press, 2018. http://dx.doi.org/10.1093/oxfordhb/9780198703174.013.13.
Pełny tekst źródłaCzęści książek na temat "GARCH analysis"
Ruppert, David. "GARCH Models". W Statistics and Data Analysis for Financial Engineering, 477–504. New York, NY: Springer New York, 2010. http://dx.doi.org/10.1007/978-1-4419-7787-8_18.
Pełny tekst źródłaRuppert, David, i David S. Matteson. "GARCH Models". W Statistics and Data Analysis for Financial Engineering, 405–52. New York, NY: Springer New York, 2015. http://dx.doi.org/10.1007/978-1-4939-2614-5_14.
Pełny tekst źródłaBoard, John, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe i Stephen Wells. "GARCH Analysis of Switchers". W Risk and Trading on London’s Alternative Investment Market, 83–86. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137361301_12.
Pełny tekst źródłaLütkepohl, Helmut. "Multivariate ARCH and GARCH Models". W New Introduction to Multiple Time Series Analysis, 557–84. Berlin, Heidelberg: Springer Berlin Heidelberg, 2005. http://dx.doi.org/10.1007/978-3-540-27752-1_16.
Pełny tekst źródłaPolasek, Wolfgang, i Ren Lei. "Generalized Impulse Response Functions for VAR-GARCH-M Models". W Data Analysis, 299–311. Berlin, Heidelberg: Springer Berlin Heidelberg, 2000. http://dx.doi.org/10.1007/978-3-642-58250-9_24.
Pełny tekst źródłaWatanabe, Norio, i Fumiaki Okihara. "On GARCH Models with Temporary Structural Changes". W Data Analysis and Applications 1, 91–103. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2019. http://dx.doi.org/10.1002/9781119597568.ch6.
Pełny tekst źródłaAlmeida, Rui Jorge, Nalan Baştürk, Uzay Kaymak i João Miguel da Costa Sousa. "Conditional Density Estimation Using Fuzzy GARCH Models". W Synergies of Soft Computing and Statistics for Intelligent Data Analysis, 173–81. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-33042-1_19.
Pełny tekst źródłaChen, Cathy W. S., Edward M. H. Lin i Yi-Ru Lin. "A Bayesian Perspective on Mixed GARCH Models with Jumps". W Uncertainty Analysis in Econometrics with Applications, 141–54. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-35443-4_10.
Pełny tekst źródłaKridsadarat, Muttalath. "Estimating Time-Varying Systematic Risk by Using Multivariate GARCH". W Uncertainty Analysis in Econometrics with Applications, 227–39. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-35443-4_16.
Pełny tekst źródłaGao, Yan, Chengjun Zhang i Liyan Zhang. "Comparative Analysis of Three GARCH Models Based on MCMC". W Communications in Computer and Information Science, 494–99. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-27452-7_67.
Pełny tekst źródłaStreszczenia konferencji na temat "GARCH analysis"
Guo, Weiwei. "The GARCH Analysis of YU'EBAO Annual Yields". W 2016 2nd Workshop on Advanced Research and Technology in Industry Applications (WARTIA-16). Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/wartia-16.2016.36.
Pełny tekst źródłaGonzaga, Alex C. "Estimation of periodic long-memory GARCH-in-mean model". W INTERNATIONAL CONFERENCE OF NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2020. AIP Publishing, 2022. http://dx.doi.org/10.1063/5.0081335.
Pełny tekst źródłaWang, Weiqiang, Ying Guo, Zhendong Niu i Yujuan Cao. "Stock indices analysis based on ARMA-GARCH model". W 2009 IEEE International Conference on Industrial Engineering and Engineering Management (IEEM). IEEE, 2009. http://dx.doi.org/10.1109/ieem.2009.5373131.
Pełny tekst źródłaMin, Zhu, Lei Min i Zhu Yongxiang. "Stationarity Analysis of a Model for Asymmtric GARCH". W 2013 Third International Conference on Intelligent System Design and Engineering Applications (ISDEA 2013). IEEE, 2013. http://dx.doi.org/10.1109/isdea.2012.303.
Pełny tekst źródłaRamli, Suraya Fadilah, Zahrul Azmir A. B. S. L. Kamarul Adzhar, Syed Anand Najmi Sayed Abu Bashar i Muhammad Fikri Abdullah. "Analysis of Ethereum versus Bitcoin: The GARCH approach". W The 5TH ISM INTERNATIONAL STATISTICAL CONFERENCE 2021 (ISM-V): Statistics in the Spotlight: Navigating the New Norm. AIP Publishing, 2023. http://dx.doi.org/10.1063/5.0112690.
Pełny tekst źródłaYu, Xuehang, i Ying Zhan. "Stability Analysis of Chinese Stock Market Based on GARCH Model". W EBIMCS '19: 2019 2nd International Conference on E-Business, Information Management and Computer Science. New York, NY, USA: ACM, 2019. http://dx.doi.org/10.1145/3377817.3377833.
Pełny tekst źródłaKuzu, Serdar, i H. Muhammet Kekeç. "Analysis of the Effect of Weighted Average Cost of the CBRT Funding on BIST100 Index, BISTXBANK Index and Exchange Rate". W International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01884.
Pełny tekst źródłaCaiado, Jorge, i Nuno Crato. "A GARCH-based method for clustering of financial time series: International stock markets evidence". W Recent Advances in Stochastic Modeling and Data Analysis. WORLD SCIENTIFIC, 2007. http://dx.doi.org/10.1142/9789812709691_0064.
Pełny tekst źródłaLi, Li, i Lei Xiao. "Value at Risk for Gold Spot Based on Quantile-GARCH Model". W 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC-2016). Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/rac-16.2016.155.
Pełny tekst źródłaZhao, Yuan-Qing, i Rui-Qing Wang. "Analysis of Electricity Prices Volatility Based on Multicycle GARCH-M Model". W 2012 International Conference on Industrial Control and Electronics Engineering (ICICEE). IEEE, 2012. http://dx.doi.org/10.1109/icicee.2012.166.
Pełny tekst źródłaRaporty organizacyjne na temat "GARCH analysis"
Gamboa-Estrada, Fredy, i Jose Vicente Romero. Modelling CDS Volatility at Different Tenures: An Application for Latin-American Countries. Banco de la República de Colombia, maj 2022. http://dx.doi.org/10.32468/be.1199.
Pełny tekst źródłaFrydman, Roman, i Nicholas Mangee. Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic. Institute for New Economic Thinking Working Paper Series, wrzesień 2021. http://dx.doi.org/10.36687/inetwp164.
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