In this paper we propose a new multivariate GARCH model with timevarying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By impos...

in this paper, in order to optimize the portfolio consisting of selected industrial stocks of petroleum products, automobiles and parts, electrical industry and extraction of minerals from tehran stock exchange member, first, time – varying conditional covariance matrix has been estimated based on the following multivariate garch models: diagonal-vech (1,1), ccc (1,1) and diagonal -bekk (1,1). ...

Abdülkerîm Müderris, Irak’ın ve İslâm âleminin ünlü çağdaş âlimlerindendir. Müderrislik, imamlık müftülük gibi birçok görevle birlikte yerli yabancı yüzlerce öğrenci yetiştirmiştir. Tefsir, hadis, fıkıh, tarih, tasavvuf edebiyat pek çok alanda yetmişten fazla eser kaleme almıştır. Zengin bir ilmî mirası geride bırakan Müderris’in en meşhur çalışmalarından biri Mevâhibu'r-Rahmân fî Tefsîri'l-Kur...

I will described a nonparametric framework for locally adaptive signal processing and analysis. This framework is based upon the notion of Kernel Regression which we generalize to adapt to local characteristics of the given data, resulting in descriptors which take into account both the spatial density of the samples (”the geometry”), and the actual values of those samples (”the radiometry”). T...

oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. this paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of opec countries, using a multivariate garch models (full-vech) over the period may 201...