Calculation of Temperature Action of Flat Steel Box Girder of Long-Span Bridges Using a Joint Model of ARMA Mean and GARCH Variance by Jun Yang, Dacheng Zhao, Bin Chen, Gaoxin Wang

“…The random fluctuation term is represented by a joint model of ARMA mean and GARCH variance. Moreover, the yearly extreme values of temperature data and temperature difference data are considered as statistical variables, and their standard values of temperature action with 50-year return period are calculated by means of the general extreme value (GEV) distributive function. …”
Get full text

Research on the Value at Risk of Basis for Stock Index Futures Hedging in China Based on Two-State Markov Process and Semiparametric RS-GARCH Model by Liang Wang, Tingjia Xu, Longhao Qin, Chenge Liu

“…This article aims to investigate the Value at Risk of basis for stock index futures hedging in China. Since the RS-GARCH model can effectively describe the state transition of variance in VaR and the two-state Markov process can significantly reduce the dimension, this paper constructs the parameter and semiparametric RS-GARCH models based on two-state Markov process. …”
Get full text

INFLACIÓN E INCERTIDUMBRE INFLACIONARIA EN BOLIVIA by Antonio N. Bojanic

Subjects: Get full text

Dinámicas del tipo de cambio nominal y del IPCc, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH by Héctor F. Salazar-Núñez, Francisco Venegas-Martínez

“…En este trabajo se utilizan los modelos arfima y garch, así como combinaciones de ellos para detectar algún tipo de memoria en el tipo de cambio nominal usd-mxn y el Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores durante el periodo 1991-2014. …”
Get full text

Examining the Leverage Effect, Dynamic Conditional Correlation, and Volatility Spillover Among Selected Indices of the Tehran Stock Exchange: Evidence from the ARMA-DCC-GJR-GARCH Model by Gholamhosein Golarzi, Seyed Ramin Abolfazli

Subjects: Get full text

BİST 100 VE KURUMSAL YÖNETİM ENDEKSİ VOLATİLİTELERİNİN KARŞILAŞTIRMALI ANALİZİ by Mehmet Öncü, Özkan Şahin, Şakir Sakarya

Subjects: Get full text

Rendimientos del mercado accionario y depreciaciones cambiarias en México: 1988-2007 by Domingo Rodríguez Benavides, Arturo Morales Castro

Subjects: Get full text

Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models by Yuye ZOU, Jing XU, Yanhui CHEN

Get full text

Pay Senedi Piyasalarında Getiri Oynaklığı ve İşlem Hacmi İlişkisi: MINT Ülkeleri Üzerine Bir İnceleme by Fatih Güzel

Subjects: Get full text

DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY? by Gentjan ÇERA, Eda DOKLE, Edmond ÇERA

Subjects: Get full text

DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY? by Gentjan ÇERA, Eda DOKLE, Edmond ÇERA

Subjects: Get full text

A Roadmap to a Successful Exchange Rate Regime Transition: Takeaways from 6 African Transitions by Hamza Bouhali, Ahmed Dahbani, Brahim Dinar

Subjects: Get full text

Estrategias dinámicas de cobertura cruzada eficiente para el mercado del petróleo mexicano: Evidencia de dos modelos garch multivariados con término de corrección de error by Raúl de Jesús Gutiérrez

Get full text

Intelligent model for forecasting fluctuations in the gold price by Mahdieh Tavassoli, Mahnaz Rabeei, Kiamars Fathi Hafshejani

Subjects: Get full text

Volatility Dynamics of Base Metal Futures: Empirical Evidence from an Emerging Economy by Laxmidhar Samal

Subjects: Get full text

Efectos de saltos inesperados en el gasto público y variables demográficas en el crecimiento económico. El caso mexicano con un enfoque GARCH con saltos (1936-2012) by Claudia Estrella Castillo-Ramírez, Francisco Venegas-Martínez, Francisco López-Herrera

Subjects: Get full text

Volatilidad en los precios de los cereales básicos y su impacto en la seguridad alimentaria. México, 1995-2018 by María Del Rosario Granados Sánchez, Javier Galán Figueroa, Juan Antonio Leos Rodríguez

Subjects: Get full text

Climate variability, population growth, and globalization impacting food security in Pakistan by Sohail Abbas, Ahtisham Haider, Shazia Kousar, Heli Lu, Siqi Lu, Fang Liu, Huan Li, Changhong Miao, Wanfu Feng, Muhammad Irfan Ahamad, Muhammad Sajid Mehmood, Rana Muhammad Zulqarnain

Subjects: Get full text

The effect of the Covid pandemic on stock market volatility: Separating initial impact from time-to-recovery by Jin Zeng, Yijia Zhang, Yun Yin, Peter G Moffatt

Subjects: Get full text

LA CÓPULA GED BIVARIADA. Una aplicación en entornos de crisis by Alfonso Mendoza Velázquez, Evalds Galvanovskis

Subjects: Get full text