Markov switching asymmetric GARCH model: stability and forecasting
Sign Up to like & getrecommendations! Published in 2020 at "Statistical Papers"
DOI: 10.1007/s00362-018-0992-2
Abstract: A new Markov switching asymmetric GARCH model is proposed where each state follows the smooth transition GARCH model, represented by Lubrano (Recherches Economiques de Louvain 67:257–287, 2001 ), that follows a logistic smooth transition structure… read more here.
Keywords: garch; switching asymmetric; garch model; asymmetric garch ... See more keywords
GARCH model to estimate the impact of agricultural greenhouse gas emissions per sociodemographic factors and CAP in Spain
Sign Up to like & getrecommendations! Published in 2020 at "Environment, Development and Sustainability"
DOI: 10.1007/s10668-020-00794-y
Abstract: This contribution analyses the Common Agricultural Policy (CAP) and focuses on agricultural emissions in Spain regarding sociodemographic characteristics (age and sex). Spanish CAP covers emissions regulation based on the application of agriculture management according to… read more here.
Keywords: policy; garch model; energy; emissions per ... See more keywords
A new GARCH model with higher moments for stock return predictability
Sign Up to like & getrecommendations! Published in 2018 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2018.02.016
Abstract: The main purpose of the paper is to propose a new GARCH-SK predictive regression model that accommodates higher order moments (skewness and kurtosis) in testing the null hypothesis of no predictability. Using an extensive and… read more here.
Keywords: predictability; garch model; new garch; higher moments ... See more keywords
Variance Minimization Hedging Analysis Based on a Time-Varying Markovian DCC-GARCH Model
Sign Up to like & getrecommendations! Published in 2020 at "IEEE Transactions on Automation Science and Engineering"
DOI: 10.1109/tase.2019.2938673
Abstract: Considering time-varying transition probability (TVTP), this article combines Markov regime switching with a dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model to construct a new hedging model and study a state-dependent minimum variance hedging… read more here.
Keywords: model; garch model; dcc garch; time varying ... See more keywords
Environmental Hazards and Life Expectancy in Africa: Evidence From GARCH Model
Sign Up to like & getrecommendations! Published in 2019 at "SAGE Open"
DOI: 10.1177/2158244019830500
Abstract: This study investigates the extent to which environmental hazards affect the life expectancy in Africa using Nigeria time series data spanning from 1960 to 2017. The study adopted generalized autoregressive conditional heteroscedasticity (GARCH) model in… read more here.
Keywords: environmental hazards; expectancy africa; garch model; life expectancy ... See more keywords
High-Dimensional Conditional Covariance Matrices Estimation Using a Factor-GARCH Model
Sign Up to like & getrecommendations! Published in 2022 at "Symmetry"
DOI: 10.3390/sym14010158
Abstract: Estimation of a conditional covariance matrix is an interesting and important research topic in statistics and econometrics. However, modelling ultra-high dimensional dynamic (conditional) covariance structures is known to suffer from the curse of dimensionality or… read more here.
Keywords: covariance; high dimensional; garch model; estimation ... See more keywords
Daily Semiparametric GARCH Model Estimation Using Intraday High-Frequency Data
Sign Up to like & getrecommendations! Published in 2023 at "Symmetry"
DOI: 10.3390/sym15040908
Abstract: The GARCH model is one of the most influential models for characterizing and predicting fluctuations in economic and financial studies. However, most traditional GARCH models commonly use daily frequency data to predict the return, correlation,… read more here.
Keywords: estimation; garch model; frequency data; garch ... See more keywords