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a threshold stochastic volatility model with realized volatility dinghai xu∗ abstract rapid development in the computer technology has made the financial transaction data…
aggregate volatility and threshold capm yakup eser arısoy * aslıhan altay-salih ** levent akdeniz *** november 2011 * lancaster university management school, lancaster,…
a threshold model for local volatility: evidence of leverage and mean reversion effects on historical datahal id: hal-01669082 https://hal.inria.fr/hal-01669082v1 preprint
submitted to the annals of statistics arxiv: arxiv:00000000 heteroskedastic pca: algorithm optimality and applications by anru zhang⇤ t tony cai† and yihong wu‡ university…
analysis of asymmetric garch volatility models with applications to margin measurement elena goldmana∗ xiangjin shen b† a department of finance lubin school of business…
8/3/2019 sphet heteroskedastic spatial models 1/21sphet: spatial models with heteroskedasticinnovations in rgianfranco pirascornell universityabstractthis introduction to…
we would like to thank robert capellini and the volatility institute vlab at nyu stern for providing matlab code for the maximum likelihood estimation of the base spline-garch…
dynamic factor volatility modeling: a bayesian latent threshold approach jouchi nakajima & mike west department of statistical science, duke university, duke box #90251,…
continuously updated indirect inference in heteroskedastic spatial modelscowles foundation for research in economics yale university box 208281 new haven, connecticut 06520-8281
a conditionally heteroskedastic independent factor model with an application to financial stock returnscontents lists available at sciverse sciencedirect international journal
heteroskedastic gaussian process modeling and sequential design in rsubmitted on 18 dec 2019 hal is a multi-disciplinary open access archive for the deposit and dissemination
bootstrapping heteroskedastic regression models: wild bootstrap vs pairs bootstrap emmanuel flachaire to cite this version: emmanuel flachaire bootstrapping heteroskedastic…
clipped noisy images: heteroskedastic modeling and practical denoising alessandro foi department of signal processing tampere university of technology po box 553 33101 tampere…
3 cumulative returns and asymmetric volatility of stocks daily returns 3.1. introduction the standard deviation of asset returns (from now on, volatility of the asset) is…
practical heteroskedastic gaussian process modeling for large simulation experiments mickaël binois∗ robert b. gramacy† mike ludkovski‡ abstract we present a unified…
finance and economics discussion series divisions of research statistics and monetary affairs federal reserve board washington dc dynamic factor value-at-risk for large heteroskedastic…
testing mean stability of heteroskedastic time series by violetta dalla liudas giraitis and peter c b phillips june 2015 cowles foundation discussion paper no 2006 cowles…
testing mean stability of a heteroskedastic time series violetta dalla1 liudas giraitis2 and peter cb phillips3 1national and kapodistrian university of athens 2queen mary…
8/10/2019 conditionally heteroskedastic time series model for speculative prices and rates of return 1/7a conditionally heteroskedastic time series model for speculative…
20 16 jordan hall the 10th college of science joint annual meeting cos-jam is part of the 9th undergraduate scholars conference the intent of cos-jam is to highlight the…