نتایج جستجو برای: in this paper we compared multivariate garch models toestimate value
تعداد نتایج: 17518159 فیلتر نتایج به سال:
since its introduction in 1959, translation quality assessment (tqa) has been among the most addressed research topics in translation studies. during recent years, there has been a crucial increase on the study of tqa. various methods have come on scene. although these methods are based on scientific theories, most of them have remained at the level of theory. juliane house’s model is among tho...
it is definitely necessary to understand the concept and behavior of causation of life insurance policies and its determinants for insurance managers, regulators, and customers. for insurance managers, the profitability and liquidity of insurers can be increasingly influenced by the number of causation through costs, adverse selection, and cash surrender values. therefore, causation is a materi...
flow in natural river bends is a complex and turbulent phenomenon which affects the scour and sedimentations and causes an irregular bed topography on the bed. for the reason, the flow hydralics and the parameters which affect the flow to be studied and understand. in this study the effect of bed and wall roughness using the software fluent discussed in a sharp 90-degree flume bend with 40.3cm ...
due to lack of knowledge management system in the organization of technical and vocational university of iran (tvuni) and losing good employees because of retirement and substitution causes huge amount of costs to replace the similar expertise. there is no any suitable system in the tvuni to store, to document, and to distribute knowledge. based on the university’s features such as it has diffe...
Abstract Profile monitoring in statistical quality control has attracted attention of many researchers recently. A profile is a function between response variables and one or more independent variables. There have been only a limited number of researches on monitoring multivariate profiles. Indeed, monitoring correlated multivariate profiles is a new subject in the fileld of statistical proces...
saluk mount is selected for devonian biostratigraphy. this area located at southwest of bojnurd. in this study three sections are selected and two sections, chahar-borj and tabar sections with a thickness of 650 m, which consist mainly of calcareous sediments was studied in detailed but third section, qelli section, with a thickness of about 450m which consist mainly of sandstone and evaporates...
the application of e-learning systems - as one of the solutions to the issue of anywhere and anytime learning – is increasingly spreading in the area of education. content management - one of the most important parts of any e-learning system- is in the concern of tutors and teachers through which they can obtain means and paths to achieve the goals of the course and learning objectives. e-learn...
مدلهای گارچ در فضاهای هیلبرت پایان نامه حاضر شامل دو بخش می باشد. در قسمت اول مدلهای اتورگرسیو تعمیم یافته مشروط به ناهمگنی واریانس در فضاهای هیلبرت را معرفی، مفاهیم ریاضی مورد نیاز در تحلیل این مدلها در دامنه زمان را مطرح کرده و آنها را مورد بررسی قرار می دهیم. بر اساس پیشرفتهایی که اخیرا در زمینه تئوری داده های تابعی و آماره های عملگری ایجاد شده است، فرآیندهایی که دارای مقادیر در فضاهای ...
High-frequency financial return time series data have stylized facts such as the long-range dependence, fat-tails, asymmetric dependence, and volatility clustering. In this paper, a multivariate model which describes those stylized facts is presented. To construct the model, a multivariate ARMA-GARCH model is considered along with fractional Lévy process. The fractional Lévy process in this pap...
This paper derives an analytical expression for an impulse-response function for a vector autoregression with multivariate GARCH errors, where the vector of conditional means is a function of the conditional variances. We also provide the appropriate interpretation of an impulse-response function for such models and suggest interesting empirical issues that can be addressed within this framework.
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