Multivariate GARCH Models - Articles - Scientific Research Publishing

Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market (Articles)

Andre Assis de Salles, Maria Eduarda Silva, Paulo Teles

Open Journal of Business and Management Vol.10 No.1, January 7, 2022

DOI: 10.4236/ojbm.2022.101010 351 Downloads 1,506 Views Citations
Option Pricing Applications of Quadratic Volatility Models (Articles)

Srimantoorao. S. Appadoo, Aerambamoorthy Thavaneswaran, Saman Muthukumarana

Journal of Mathematical Finance Vol.2 No.2, May 23, 2012

DOI: 10.4236/jmf.2012.22017 4,892 Downloads 9,692 Views Citations
Exploring the Priced Factors in ICAPM in Japan (Articles)

Chikashi TSUJI

Modern Economy Vol.2 No.4, September 21, 2011

DOI: 10.4236/me.2011.24078 5,514 Downloads 10,081 Views Citations
Semiparametric Estimation of Multivariate GARCH Models (Articles)

Claudio Morana

Open Journal of Statistics Vol.5 No.7, December 30, 2015

DOI: 10.4236/ojs.2015.57083 5,186 Downloads 6,939 Views Citations
Volatility in High-Frequency Intensive Care Mortality Time Series: Application of Univariate and Multivariate GARCH Models (Articles)

John L. Moran, Patricia J. Solomon

Open Journal of Applied Sciences Vol.7 No.8, August 11, 2017

DOI: 10.4236/ojapps.2017.78030 1,649 Downloads 4,411 Views Citations
Reinvestigation of the Interaction between the RMB Onshore and Offshore Markets: An Empirical Analysis Based on Hourly Data (Articles)

Zijiao Wang, Qunyong Wang

Modern Economy Vol.8 No.12, December 12, 2017

DOI: 10.4236/me.2017.812100 1,222 Downloads 3,126 Views Citations
Study Based on SNOWNLP Model Mining of Stock Bar Investors’ Emotions on Stock Prices (Articles)

Chenyu Li

Modern Economy Vol.14 No.6, June 30, 2023

DOI: 10.4236/me.2023.146042 337 Downloads 1,374 Views Citations
Composite Likelihood for Bilinear GARCH Model (Articles)

Abdelhalim Bouchemella, Fatima Zahra Benmostefa

Applied Mathematics Vol.5 No.15, August 14, 2014

DOI: 10.4236/am.2014.515225 4,696 Downloads 6,127 Views Citations
Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models (Articles)

Manamba Epaphra

Journal of Mathematical Finance Vol.7 No.1, February 6, 2017

DOI: 10.4236/jmf.2017.71007 6,049 Downloads 17,596 Views Citations
An Empirical Evaluation in GARCH Volatility Modeling: Evidence from the Stockholm Stock Exchange (Articles)

Chaido Dritsaki

Journal of Mathematical Finance Vol.7 No.2, May 19, 2017

DOI: 10.4236/jmf.2017.72020 3,816 Downloads 9,940 Views Citations
Volatility Prediction: A Study with Structural Breaks (Articles)

Dilip Kumar

Theoretical Economics Letters Vol.8 No.6, April 23, 2018

DOI: 10.4236/tel.2018.86080 1,203 Downloads 2,836 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Variable Selection in Finite Mixture of Time-Varying Regression Models (Articles)

Jing Liu, Wanzhou Ye

Advances in Pure Mathematics Vol.10 No.3, March 6, 2020

DOI: 10.4236/apm.2020.103007 702 Downloads 1,776 Views Citations
An Examination of Male and Female Monthly Employment Rates over Time in Canada and the United States Using Hidden Markov Probability Models (Articles)

William H. Laverty, Ivan W. Kelly

Open Journal of Statistics Vol.8 No.5, September 29, 2018

DOI: 10.4236/ojs.2018.85055 1,185 Downloads 2,277 Views Citations
Modeling Exchange Rate Dynamics in Egypt: Observed and Unobserved Volatility (Articles)

Dina Rofael, Rana Hosni

Modern Economy Vol.6 No.1, January 14, 2015

DOI: 10.4236/me.2015.61006 4,696 Downloads 6,868 Views Citations
On the Contribution of the Stochastic Integrals to Econometrics (Articles)

Lewis N. K. Mambo, Rostin M. M. Mabela, Isaac K. Kanyama, Eugène M. Mbuyi

Applied Mathematics Vol.10 No.12, December 23, 2019

DOI: 10.4236/am.2019.1012073 870 Downloads 2,745 Views Citations
Statistical Inference in Generalized Linear Mixed Models by Joint Modelling Mean and Covariance of Non-Normal Random Effects (Articles)

Yin Chen, Yu Fei, Jianxin Pan

Open Journal of Statistics Vol.5 No.6, October 23, 2015

DOI: 10.4236/ojs.2015.56059 3,077 Downloads 5,222 Views Citations
A Review of Price Forecasting Problem and Techniques in Deregulated Electricity Markets (Articles)

Nitin Singh, S. R. Mohanty

Journal of Power and Energy Engineering Vol.3 No.9, September 10, 2015

DOI: 10.4236/jpee.2015.39001 6,612 Downloads 10,462 Views Citations
Financial Time Series Modelling of Trends and Patterns in the Energy Markets (Articles)

Jane Aduda, Patrick Weke, Philip Ngare, Joseph Mwaniki

Journal of Mathematical Finance Vol.6 No.2, May 23, 2016

DOI: 10.4236/jmf.2016.62027 3,179 Downloads 5,429 Views Citations
Modeling Stock Market Volatility Using GARCH Models: A Case Study of Nairobi Securities Exchange (NSE) (Articles)

Arfa Maqsood, Suboohi Safdar, Rafia Shafi, Ntato Jeremiah Lelit

Open Journal of Statistics Vol.7 No.2, April 30, 2017

DOI: 10.4236/ojs.2017.72026 2,892 Downloads 9,940 Views Citations
Unravelling the Cipher of Indian Rupee’s Volatility: Testing the Forecasting Efficacy of the Rolling Symmetric and Asymmetric GARCH Models (Articles)

Shalini Talwar, Aparna Bhat

Theoretical Economics Letters Vol.8 No.6, April 23, 2018

DOI: 10.4236/tel.2018.86079 886 Downloads 2,187 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics

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