Filtry
Modelling of conditional corellation matrix
Basic themes of document: MGARCH; correlation matrix; BEKK model; DCCe model; GO-GARCH...
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies
. multivariate VAR-GO-GARCH, VAR-DCC-GARCH and univariate ARMA-GARCH type models. CommonThe article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead...
BB - Aplikovaná statistika, operační výzkum
- 2015 •
- Jx •
- Odkaz
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Analyse of Stock Indeces
Basic themes of document: GARCH; EGARCH; GJR-GARCH; ICSS; stock indexes; financial markets; econometrics models...
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
Forecasting Volatility Based on the Relevance Vector Machine
Main topics of the document: relevance vector machine; volatility models; RVM; GARCH; EGARCH; GJR-GARCH...
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
The Construction of Forecasts on the base of GARCH model.
Basic themes in document: model; forecast; volatility; GARCH.
BB - Aplikovaná statistika, operační výzkum
- 2002 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
GARCH models, tail indexes and error distributions: An empirical investigation
generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme by simulating GARCH models. Our results suggest that actual and simulated values differ greatly for GARCH models with normal conditio...
AH - Ekonomie
- 2016 •
- Jx •
- Odkaz
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Application of fuzzy GARCH model for forecasting exchange rate volatility
The paper describes the approach to modelling volatility by combination of GARCH mothodology and fuzzy regression approach. The methodology is applied on interest rates of the Czech economy. GARCH model is described and fuzzy regres...
AH - Ekonomie
- 2002 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
ARIMA and GARCH models for stock returns.
Basic themes in document: stock returns; GARCH models. { ? ? č đ ň " ) - d...
BB - Aplikovaná statistika, operační výzkum
- 2001 •
- D
Rok uplatnění
D - Stať ve sborníku
A Note on GARCH(1,1) Estimation via Different Estimation Methods
Main topics of the document: GARCH; generalized method of moments; Contour plot...
BB - Aplikovaná statistika, operační výzkum
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Fuzzy GARCH model for forecasting volatility of interest rates
The paper describes the approach to modelling volatility by combination of GARCH mothodology and fuzzy regression approach. The methodology is applied on interest rates of the Czech economy. GARCH model is described and fuzzy regres...
AH - Ekonomie
- 2001 •
- D
Rok uplatnění
D - Stať ve sborníku
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