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1.785.089  Articles
1 of 178.510 pages  |  10  records  |  more records»
This study assesses the Value at Risk (VaR) and Expected Shortfall (ES) methods in gauging exchange rate risk in PT Telkom Indonesia Tbk, using historical Bank Indonesia closing rates USD/IDR and JPY/IDR from January 2022 - December 2022. Results demonstr... see more

Nghiên c?u này xem xét m?i tuong quan thay d?i theo th?i gian c?a ch? s? th? tru?ng ch?ng khoán Vi?t Nam (VN-index) v?i các th? tru?ng ch?ng khoán l?n trên th? gi?i bao g?m ch? s? ch?ng khoán New York (NYSE), th? tru?ng ch?ng khoán Nh?t B?n (Nikkei) và ch... see more

Este documento evalúa el comportamiento de varios modelos de volatilidad en estimaciones de un día del valor en riesgo (VaR) de veinticuatro series de retornos de acciones en Colombia con diferentes distribuciones. Al considerar que todas las series de re... see more

The purpose of this paper is to model and forecast volatility of returns for corn futures prices using GARCH models. Non-linear models from the GARCH family, specifically TGARCH and EGARCH are employed to assess the role of asymmetries and to analyze the ... see more

This article aims to get model data stock Unilever Indonesia Tbk. use the model ARCH and GARCH as well as comparing forecasting accuracy of the result of the next five days ahead model ARCH and GARCH on the stock Unilever Indonesia Tbk. use MATLAB. The me... see more

Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibo... see more

In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the dail... see more

Promoting the horticultural auction market as an alternative outlet is becoming more popular. The horticultural auction market has some benefits, such as reducing price volatility and controlling inflation. This research used a case study in Sleman Regenc... see more

Model GARCH–M merupakan pengembangan model GARCH yang dimasukkan variansi bersyarat ke dalam persamaan mean. Model ARIMAX–GARCH merupakan penggabungan model ARIMAX dan GARCH. Kedua model tersebut dapat digunakan untuk mengatasi masalah heteroskedastisitas... see more

1 of 178.510 pages  |  10  records  |  more records»