GARCH t Model - Articles - Scientific Research Publishing

Dynamic Option Pricing Model Based on the Realized-GARCH-NIG Approach (Articles)

Honglei Zhang, Yixiang Tian, Gaoxun Zhang

Open Journal of Social Sciences Vol.4 No.3, March 15, 2016

DOI: 10.4236/jss.2016.43011 2,606 Downloads 3,941 Views Citations
Influence of Open-End Funds on Stock Market Volatility-Analysis Based on Shanghai Composite (Articles)

Na Zhu

American Journal of Industrial and Business Management Vol.6 No.4, April 22, 2016

DOI: 10.4236/ajibm.2016.64045 2,890 Downloads 4,175 Views Citations
Price Influence and Volatility Risk Transmission of Non-Ferrous Metals Futures: Situation in China (Articles)

Hui Gao, Zeduo Yu

American Journal of Industrial and Business Management Vol.14 No.10, October 12, 2024

DOI: 10.4236/ajibm.2024.1410063 109 Downloads 921 Views Citations
Wavelet Density Estimation and Statistical Evidences Role for a GARCH Model in the Weighted Distribution (Articles)

Mohammad Abbaszadeh, Mahdi Emadi

Applied Mathematics Vol.4 No.2, February 28, 2013

DOI: 10.4236/am.2013.42061 4,668 Downloads 7,279 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 4,695 Downloads 6,866 Views Citations
A New Fama-French 5-Factor Model Based on SSAEPD Error and GARCH-Type Volatility (Articles)

Wentao Zhou, Liuling Li

Journal of Mathematical Finance Vol.6 No.5, November 16, 2016

DOI: 10.4236/jmf.2016.65050 3,255 Downloads 7,977 Views Citations
Empirical Research on Spillover Effect among Stock, Money and Foreign Exchange Market of China (Articles)

Yunlong Yu, Dong Liao

Modern Economy Vol.8 No.5, May 12, 2017

DOI: 10.4236/me.2017.85047 2,132 Downloads 4,412 Views Citations
Analysis of 48 US Industry Portfolios with a New Fama-French 5-Factor Model (Articles)

Liuling Li, Xiao Rao, Wentao Zhou, Bruce Mizrach

Applied Mathematics Vol.8 No.11, November 30, 2017

DOI: 10.4236/am.2017.811122 1,367 Downloads 6,689 Views Citations
Limit Theory of Model Order Change-Point Estimator for GARCH Models (Articles)

Irene W. Irungu, Peter N. Mwita, Antony G. Waititu

Journal of Mathematical Finance Vol.8 No.2, May 28, 2018

DOI: 10.4236/jmf.2018.82027 930 Downloads 2,132 Views Citations
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi

Journal of Mathematical Finance Vol.8 No.2, May 31, 2018

DOI: 10.4236/jmf.2018.82029 1,438 Downloads 3,558 Views Citations
How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan (Articles)

Chikashi Tsuji

Modern Economy Vol.9 No.10, October 18, 2018

DOI: 10.4236/me.2018.910102 815 Downloads 2,187 Views Citations
Empirical Analysis of VDAX and VSTOXX as Major Volatility Indices in the EU Including Forecasting Tools (Articles)

Ernst J. Fahling, Elmar Steurer, Manuel Ulbig, Burkhard Bamberger

Journal of Financial Risk Management Vol.8 No.4, December 31, 2019

DOI: 10.4236/jfrm.2019.84022 1,070 Downloads 2,835 Views Citations
Research on Pricing of Shanghai 50ETF Options Based on Fractal B-S Model and GARCH Model (Articles)

Wanting Hu

Modern Economy Vol.11 No.2, February 20, 2020

DOI: 10.4236/me.2020.112031 1,081 Downloads 2,675 Views Citations
Modelling and Forecasting of Crude Oil Price Volatility Comparative Analysis of Volatility Models (Articles)

Faith Wacuka Ng’ang’a, Meleah Oleche

Journal of Financial Risk Management Vol.11 No.1, March 15, 2022

DOI: 10.4236/jfrm.2022.111008 789 Downloads 6,727 Views Citations
An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model (Articles)

Simin Wu, Zahayu Md. Yusof, Masnita Misiran

Journal of Mathematical Finance Vol.14 No.1, December 19, 2023

DOI: 10.4236/jmf.2024.141001 273 Downloads 1,052 Views Citations
Research on the Dynamic Volatility Relationship between Chinese and U.S. Stock Markets Based on the DCC-GARCH Model under the Background of the COVID-19 Pandemic (Articles)

Simin Wu, Yan Liang, Weixun Li

Journal of Applied Mathematics and Physics Vol.12 No.9, September 11, 2024

DOI: 10.4236/jamp.2024.129184 105 Downloads 775 Views Citations
Estimation and Application of GARCH-X Model Based on High-Frequency Data (Articles)

Zefang Song, Lingjun Chen, Wenlin Huang

American Journal of Industrial and Business Management Vol.15 No.2, February 20, 2025

DOI: 10.4236/ajibm.2025.152012 226 Downloads 1,509 Views Citations
This article belongs to the Special Issue on Business, Finance and Investment
Economic Policy Uncertainty and Gold Futures Volatility: A GARCH-MIDAS Approach (Articles)

Rui Wu, Liu Zhuang, Mengfan He

Open Journal of Business and Management Vol.14 No.3, April 8, 2026

DOI: 10.4236/ojbm.2026.143074 80 Downloads 434 Views Citations
Risk Correlation Based on Time-Varying Copula Function and Extreme Value Theory (Articles)

Xinlong Ji, Lu Zhou

Theoretical Economics Letters Vol.7 No.7, December 18, 2017

DOI: 10.4236/tel.2017.77151 1,237 Downloads 2,707 Views Citations
Modelling Stock Prices with Exponential Weighted Moving Average (EWMA) (Articles)

Adejumo Wahab Adewuyi

Journal of Mathematical Finance Vol.6 No.1, February 26, 2016

DOI: 10.4236/jmf.2016.61011 6,503 Downloads 11,427 Views Citations

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