This study investigates advanced portfolio optimization techniques that integrate copula functions and GARCH models to enhance risk-adjusted performance in the European stock market. Traditional ...
Journal of Economic Integration, Vol. 30, No. 1 (March 2015), pp. 172-205 (34 pages) In this paper, we use the copulas functions in financial application, namely to examine the assumption of ...
Abstract: This article first summarizes the history and development of two types of methods in the field of forecasting, GARCH model and artificial neural network ANA; then conducts data analysis and ...
Can you chip in? This year we’ve reached an extraordinary milestone: 1 trillion web pages preserved on the Wayback Machine. This makes us the largest public repository of internet history ever ...
Abstract: The purpose of this paper is to investigate the risk measures based on general autoregress conditional heterostedasticity (GARCH) model in tanker shipping industry, to choose Baltic Dirty ...
An R package for estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels and Sohn, 2013, doi:10.1162/REST_a_00300) and related statistical inference ...
There was an error while loading. Please reload this page. These scripts on GARCH models are about forward looking approach to balance risk and reward in financial ...
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