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10  Articles
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En un modelo de séries temporales ARMA-APARCH con innovaciones Z, la condición de delta - estacionariedad del proceso APARCH envuelve el delta-ésimo momento de la diferencia entre el valor absoluto de las innovaciones con el producto del parámet... see more

Penelitian ini membahas analisis risiko data runtun waktu dengan model Value at Risk- Asymmetric Power Autoregressive Conditional Heteroscedasticity (VaR-APARCH)dalam pasar modal syariah. Metode yang digunakan dalam penelitian ini adalah penerapan kasus.D... see more

Model APARCH is one of the asymmetric GARCH models. These models are able to capture the incidence of good news and bad news in the volatility. The APARCH model has an asymmetric coefficient to cope with leverage effect by modeling a leverage that has het... 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

Understanding the impact of external shocks on the stock market return and volatility is crucial for market participants as volatility is synonymous with risk. This paper provides comprehensive evidence on the spillover effects of the change of monetary p... see more

AbstractOrientation: Modelling of international tourist arrivals’ volatility is vital for marketing, planning, policy formulation and investment purposes among others. Symmetric and asymmetric tourism volatility models for years 2000–2017 were fitted... see more

 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

This research explores various methods to estimate Value at Risk for a portfolio of high and medium liquidity Colombian stocks. It concludes that, according to the characteristics of these assets, Full Montecarlo is more robust than other parametric me... see more

Volatility forecasting has been of great interest both in academic and professional fields all over the world. However, there is no agreement about the best model to estimatevolatility. New models include measures of skewness, changes of regimes and diffe... see more

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