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Modeling multivariate volatility using wavelet-based realized covariance estimator
Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time....
AH - Ekonomie
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
Covariance matrix forecasting using support vector regression
Main topics of the document: support vector regression; machine learning; multivariate volatility models; high and low prices; range-based models; covariance forecasting......
Finance
- 2021 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
Recent multivariate extensions of the popular heterogeneous autoregressive model (HAR) for realized volatility leave substantial information unmodelled when realized covariance, subsampled realized covariance and multivariate
Economic Theory
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Main topics of the document: volatility models; multivariate GARCH; dynamic conditional correlation; covariance forecasting; high-low range; value-at-risk......
Finance
- 2023 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Modeling multivariate volatility using wavelet-based realized covariance estimator
realized volatility framework by bringing the robustness to noise as well jumps...
AH - Ekonomie
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
The Effects of Short Selling on Financial Markets Volatilities
The paper investigates the relationship between short selling activities of stocks on the volatility of the US market and its sectors. We apply the multivariate the market volatility and higher short selling activities redu...
Finance
- 2019 •
- JSC •
- Link
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JSC - Článek v periodiku v databázi SCOPUS
Výsledek na webu
Empirical Modeling the Dynamic Conditional Correlations between Shanghai and Hong Kong Stock Markets
models have limited applications only. However, multivariate conditional volatilityModelling the volatility of financial time series is essential part of practically oriented financial analysis. Volatility can be ...
Finance
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
Time Series in Economics and Finance
The monograph presents the principles and methods for the analysis and prediction of economic and financial time series. It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling fo...
Statistics and probability
- 2020 •
- B •
- Link
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B - Odborná kniha
Výsledek na webu
A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling
During the last years, cryptocurrencies have been increasingly becoming a relevant subject of academic researchers and investors. This paper adopts a novel framework that combines a multivariate Generalized AutoRegressive Conditional the cry...
Finance
- 2024 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Volatile Compounds as a Tool for Wine Authentification: Case Study of PIWI Varieties Hibernal, Johanniter and Solaris
This work deals with the possibility of authentication of PIWI varieties wines on the basis of volatile profile analysis. The determination of volatiles was performed by HS-SPME-GC-MS. The repeatability and linear range of selected ...
Food and beverages
- 2022 •
- O
Rok uplatnění
O - Ostatní výsledky
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