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Modeling Market Volatility with Mixed Exponential Power Asymmetric Conditional Heteroskedasticity : An Application to Shanghai Stock Exchange Composite Index Daily Returns
Shi, Kai - 2012
We utilize the mixed exponential power asymmetric GARCH model where each component exhibits asymmetric conditional …
Persistent link: https://www.econbiz.de/10013103551
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Modelling volatility persistence and asymmetry of Naira-Dollar exchange rate
Oyinlola, Mutiu Abimola - In: CBN journal of applied statistics 9 (2018) 1, pp. 141-165
GARCH model, appears to be better than the asymmetric ones in dealing with exchange rate volatility in the interbank market …This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de … Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old GARCH [TGARCH (1,1)] and Exponential GARCH [EGARCH (1,1)]. The results …
Persistent link: https://www.econbiz.de/10011922750
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Analysing High Frequency Data Using ARCH and GARCH Methods
Krishnan, Rohit - 2010
. First we look at ARCH models on tick by tick data of SBI. Then we look at the GARCH models – with two stocks SBI and TATA … DCC GARCH model to see if a bivariate view gives us any new insights. Finally we try to sum up the various techniques by …
Persistent link: https://www.econbiz.de/10013143284
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Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm
Puigvert Gutiérrez, Josep Maria; Fortiana Gregori, Josep - 2008
In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...
Persistent link: https://www.econbiz.de/10011604994
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Statistical modelling of temperature risk
Anastasiadou, Zografia; López-Cabrera, Brenda - 2012
mean Lasso-type technique based with a multiplicative structure of Fourier and GARCH terms in volatility is proposed. The …
Persistent link: https://www.econbiz.de/10010318774
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Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm
Puigvert Gutiérrez, Josep Maria; Gregori, Josep Fortiana - 2008
In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...
Persistent link: https://www.econbiz.de/10003794031
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Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
Nakatani, Tomoaki (contributor);  … - 2007
variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the … constant conditional correlation GARCH model of Bollerslev (1990) and its extensions. Under the new conditions, it is possible … to introduce negative volatility spillovers in the model. An empirical example illustrates usefulness of having such …
Persistent link: https://www.econbiz.de/10003576679
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Statistical modelling of temperature risk
Anastasiadou, Zografia; López Cabrera, Brenda - 2012
mean Lasso-type technique based with a multiplicative structure of Fourier and GARCH terms in volatility is proposed. The …
Persistent link: https://www.econbiz.de/10009526622
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Measuring Similarity between Trend Behaviors of Multivariate Time Series
Oh, Gabjin - 2011
We propose a novel approach for estimating the similarity between the trends of two time series, which has been an important problem in the fields of finance, economics and econophysics. We introduce the exit-time correlation (EC) to measure this similarity based on the exit-time method recently...
Persistent link: https://www.econbiz.de/10013121290
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A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics : A Selected Review
Wirjanto, Tony S. - 2013
This paper provides a selected review of the recent developments and applications of mixture-of-normal (MN) distribution models in financial econometrics. One noted feature of the MN model is its flexibility in accommodating various shapes of continuous distributions, and its ability in...
Persistent link: https://www.econbiz.de/10013084062