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Displaying results 1 to 13 of 13.

  1. Noise traders' trigger rates, FX options, and smiles
    Author: Pierdzioch, Christian
    Published: 2000
    Publisher:  Inst. of World Economics, Kiel

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  2. Noise Traders? Trigger Rates, FX Options, and Smiles
    Author: Pierdzioch, Christian
    Published: 2000
    Publisher:  Kiel Institute for the World Economy (IfW), Kiel

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  3. On oil-US exchange rate volatility relationships
    an intradaily analysis
    Author: Jawadi, Fredj; Louhichi, Waël; Ben Ameur, Hachmi
    Published: [2017]
    Publisher:  Université de Paris Ouest Nanterre La Défense, Nanterre

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 334 (2017,11)
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    Volltext (kostenfrei)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / EconomiX ; 2017, 11
    Subjects: Oil price volatility; realised volatility; intradaily jumps; exchange rate; intradaily data; GARCH model
    Scope: 1 Online-Ressource (circa 27 Seiten)
  4. The exchange rate system reform in China
    US pressure, implicit gradual appreciation and explicit exchange rate bands
    Author: Yip, Paul S. L.; Tse, Yiu Kuen; Dong, Yingjie
    Published: 2017
    Publisher:  EGC, Nanyang Technological University, Singapore

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Keine Speicherung
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: EGC report ; no: 2017, 10
    Subjects: fixed exchange rate system; GARCH model; nominal effective exchange rate; renminbi
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  5. Nonparametric localized bandwidth selection in Kernel density estimation
    Author: Cheng, Tingting; Gao, Jiti; Zhang, Xibin
    Published: February 2016
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Revised 14, 24
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 16, 07
    Subjects: Density estimation; localized bandwidth; GARCH model
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  6. Media attention vs. sentiment as drivers of conditional volatility predictions
    an application to Brexit
    Author: Guidolin, Massimo; Pedio, Manuela
    Published: [2020]
    Publisher:  BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi, Milano, Italy

    Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of standard symmetric and asymmetric Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models augmented to include media coverage and especially media tone scores outperforme traditional GARCH models both in-and-out-of-sample

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper series / Bocconi ; n. 145 (July 2020)
    BAFFI CAREFIN Centre Research Paper ; No. 2020-145
    Subjects: Attention; Sentiment; Text Mining; Forecasting; Conditional Variance; GARCH model; Brexit
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  7. Specification tests for GARCH processes
    Author: Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders
    Published: [2021]
    Publisher:  Department of Economics, University of Copenhagen, Copenhagen, Denmark

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 572
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion papers / Department of Economics, University of Copenhagen ; no. 21, 06
    Subjects: GARCH model; Bootstrap; Specification test; Kolmogorov-Smirnov test; Cramérvon Mises test; Marked empirical process; Nuisance parameters on the boundary
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  8. Forecasting the Artificial Intelligence index returns
    a hybrid approach
    Author: Zhang, Yue-Jun; Zhang, Han; Gupta, Rangan
    Published: [2021]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 52
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/7066
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2021, 82 (November 2021)
    Subjects: AI index return forecasting; PSO-LSSVM model; GARCH model; Decomposition and integration model; Combination model
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  9. Robust ranking of multivariate GARCH models by problem dimension
    Author: Caporin, Massimiliano; McAleer, Michael
    Published: [2012]
    Publisher:  Dept. of Economics and Finance, University of Canterbury, Christchurch, N.Z

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 92 (2012,6)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Department of Economics and Finance, University of Canterbury ; 2012,06
    Subjects: ARCH-Modell; Prognoseverfahren; Modellierung; Robustes Verfahren; Multivariate Analyse; GARCH model; Economic forecasting; Econometric models; Multivariate analysis; Analysis of covariance
    Scope: Online-Ressource (1 electronic document (31 p., 861,36 Kb))
    Notes:

    Archived by the National Library of New Zealand

    Title from PDF cover (viewed on May 22, 2012)

    "April 2012"--Added t.p

    Hypertext links contained in the archived instances of this title are non-functional

    Includes bibliographical references (p. 28-31)
  10. Essays on the impact of sentiment on real estate investments
    Author: Mathieu, Anna
    Published: 2011
    Publisher:  EBS, Univ. für Wirtschaft und Recht, Wiesbaden

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    RVK Categories: QT 384 ; QT 384
    Subjects: Immobilienfonds; Anlageverhalten; Gefühl; Finanzkrise; Wohneigentum; ARCH-Prozess; :z Geschichte 1978-2010
    Other subjects: (stw)Immobilienfonds; (stw)Anlageverhalten; (stw)Emotion; (stw)Finanzkrise; (stw)Wohneigentum; (stw)ARCH-Modell; Geschichte 1978-2010; GARCH model; REIT; Graue Literatur; REIT; (lcsh)Business; (lcsh)Business and Management; (lcsh)Business; (lcsh)Real estate management; (lcsh)Finance; (lcsh)Real estate management; (lcsh)Finance
    Scope: VII, 95 S., graph. Darst., 21 cm
    Notes:

    Zugl.: Wiesbaden, EBS Univ. für Wirtschaft und Recht, Diss., 2011
  11. Modelos GARCH assimétricos com inovações t-Student
    Published: 2013
    Publisher:  IPEA, Brasília, DF

    In this work we consider modeling the past volatilities through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model using the Bayesian approach. Asymmetries in the shocks are accommodated by smooth transition models for the... more

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    Ibero-Amerikanisches Institut Preußischer Kulturbesitz, Bibliothek
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    In this work we consider modeling the past volatilities through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model using the Bayesian approach. Asymmetries in the shocks are accommodated by smooth transition models for the variance. We discuss problems related to the likelihood function and propose a solution. In order to account for heavy tails in the applications we consider Student-t errors. The Jeffrey's prior is used in this context to correct problems in the estimation of degrees of freedom. A simulated study is presented to highlight the advantages of the proposed methodology and an application to the Brazilian index of prices illustrates the usefulness of the asymmetric GARCH model with student-t errors.

     
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    Source: Union catalogues
    Language: Portuguese
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/91321
    Series: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1872
    Subjects: Student-t; GARCH model; Bayesian approach; Jeffrey's prior
    Scope: Online-Ressource (31 S.), graph. Darst.
    Notes:

    Zsfassung in engl. Sprache
  12. Islamic finance and herding behavior theory
    a sectoral analysis for Gulf Islamic stock market
    Author: Medhioub, Imed; Chaffai, Mustapha
    Published: [2019]
    Publisher:  Economic Research Forum (ERF), Dokki, Giza, Egypt

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 592
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Economic Research Forum ; no. 1324 (July 2019)
    Subjects: Islamic stock market; GARCH model; Quantile regression; herding behavior; GCC countries; sectoral analysis
    Scope: 1 Online-Ressource (circa 17 Seiten), Illustrationen
  13. Modelos GARCH assimétricos com inovações t-Student
    Published: 2013
    Publisher:  IPEA, Brasília, DF

    In this work we consider modeling the past volatilities through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model using the Bayesian approach. Asymmetries in the shocks are accommodated by smooth transition models for the... more

    Location:
    Ibero-Amerikanisches Institut Preußischer Kulturbesitz, Bibliothek
    Inter-library loan:
    No inter-library loan

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 194 (1872)
    Inter-library loan:
    No inter-library loan

     

    In this work we consider modeling the past volatilities through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model using the Bayesian approach. Asymmetries in the shocks are accommodated by smooth transition models for the variance. We discuss problems related to the likelihood function and propose a solution. In order to account for heavy tails in the applications we consider Student-t errors. The Jeffrey's prior is used in this context to correct problems in the estimation of degrees of freedom. A simulated study is presented to highlight the advantages of the proposed methodology and an application to the Brazilian index of prices illustrates the usefulness of the asymmetric GARCH model with student-t errors.

     
    Export to reference management software   RIS file
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    Content information
    Source: Union catalogues
    Language: Portuguese
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/91321
    Series: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1872
    Subjects: Student-t; GARCH model; Bayesian approach; Jeffrey's prior
    Scope: Online-Ressource (31 S.), graph. Darst.
    Notes:

    Zsfassung in engl. Sprache