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101.144  Articles
1 of 10.115 pages  |  10  records  |  more records»
 Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment speculations cause incredible ... see more

Cocoa plays an important role in generating Indonesian foreign exchange revenues since it is one of Indonesia’s primary commodity exports. Meanwhile, as part of plantation commodity, cocoa’s price also has volatility nature. This study has two aims: to ex... see more

Agricultural sector plays an important role in Indonesia’s economy; especially for the plantation sub-sector contributing high revenues to Indonesia’sexporting sectors. The primary agricultural commodities in Indonesian export discussed in this study woul... see more

In this paper the asymptotic distribution of the absolute residual autocorrelations from generalized autoregressive conditional heteroscedastic (GARCH) models is derived. The correct asymptotic standard errors for the absolute residual autocorrelations ar... 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 several financial applications, it is extremely useful to predict volatility with the highest precision. Neural Networks alongside GARCH-type models have been extensively employed in the last decades for estimating volatility of financial indices. The ... see more

This study sought to model the stock market return volatility at the Nairobi Securities Exchange (NSE) in the presence of structural breaks. Using daily NSE 20 share index for the period 04/01/2010  to  29/12/2017,  the market return volati... see more

Volatiliy measurement and modeling is an important aspect in many areas of finance. The main purpose of this study is to apply seven APARCH-type models with (1,1) lags to investigate the behavior of exchange rate volatility for the EUR, JPY, and USD selli... see more

In this paper, we have explored operational risk in Brazil by considering different sectoral indices of the Brazilian economy and the GACH Value-at-Risk (GARCH-VaR) estimation approach. We have carried a statistical evaluation of the eight Brazilian secto... see more

1 of 10.115 pages  |  10  records  |  more records»