Search Results - subject:"1(1)"

The hedging role of US and Chinese stock markets against economic and trade policy uncertainty : lessons from recent turbulences

Ghosh, Sutap Kumar; Hossain, Md. Naiem; Khatun, Hosneara - In: China finance review international 13 (2023) 3, pp. 444-470

Persistent link: https://www.econbiz.de/10014362718

Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks 8 (2020) 1, pp. 1-20

Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV …

Persistent link: https://www.econbiz.de/10013200547

Predicting changes in Bitcoin price using grey system theory

Faghih, Mahboubeh Mohammadi Jalali; Heidari, Hanif - In: Financial Innovation 6 (2020) 1, pp. 1-12

Bitcoin and changes therein using the grey system theory. The first order grey model (GM (1,1)) is used for this purpose. It … uses a first-order differential equation to model the trend of time series. The results show that the GM (1,1) model …

Persistent link: https://www.econbiz.de/10012602849

Stochastic volatility and GARCH: Do squared end-of-day returns provide similar information?

Allen, David E. - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-26

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus …(1,1) model was augmented by adding a vector of demeaned squared returns to the mean equation. The augmented SV model …

Persistent link: https://www.econbiz.de/10012611433

Stochastic volatility and GARCH : do squared end-of-day returns provide similar information?

Allen, David E. - In: Journal of risk and financial management : JRFM 13 (2020) 9/202, pp. 1-26

Persistent link: https://www.econbiz.de/10012384599

Predicting changes in Bitcoin price using grey system theory

Faghih, Mahboubeh Mohammadi Jalali; Heidari, Hanif - In: Financial innovation : FIN 6 (2020) 13, pp. 1-12

Persistent link: https://www.econbiz.de/10012268595

Forecasting European Union CO2 emissions using autoregressive integrated moving average-autoregressive conditional heteroscedasticity models

Dritsaki, Melina; Dritsaki, Chaido - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 4, pp. 411-423

Persistent link: https://www.econbiz.de/10012504221

Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV …

Persistent link: https://www.econbiz.de/10012203997

Relative contagiousness of emerging virus variants : an analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants

Hansen, Peter Reinhard - In: The econometrics journal 25 (2022) 3, pp. 739-761

Persistent link: https://www.econbiz.de/10013399866

Development analysis of cross-border e-commerce logistics based on big data technology under safety law protection

Wen, Long - In: International journal of information systems in the … 14 (2022) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10014291930