نتایج جستجو برای: Panel in Mean-MGARCH Models
تعداد نتایج: 17126219 فیلتر نتایج به سال:
The main objective of this study is to analyze spillover fluctuations between inflation fluctuation and (un)employment fluctuation in relation to agriculture, industry and services sectors of Iran. In line with this, PANEL in Mean-MGARCH model has been used concerning Iran’s agriculture, industry and services sectors over the period of time from spring 2002 to winter 2016. The results show that...
the current thesis is composed in five chapters in the following fashion: chapter two encompasses the applied framework of the project in details; the methodology of carl gustav jung to explain the process of individuation, the major archetypes and their attributes and his techniques to assess the mind’s strata are all explained. moreover, the austrian psychoanalysts, heinz kohut’s models of a...
Multivariate GARCH (MGARCH) models are usually estimated under multivariate normality. In this paper, for non-elliptically distributed financial returns, we propose copula-based multivariate GARCH (C-MGARCH) model with uncorrelated dependent errors, which are generated through a linear combination of dependent random variables. The dependence structure is controlled by a copula function. Our ne...
The existing parametric multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model could hardly capture the nonlinearity and the non-normality, which are widely observed in nancial data. We propose semiparametric conditional covariance (SCC) model to capture the information hidden in the standardized residuals and missed by the parametric MGARCH models. Our two-stage...
seismic retrofit strategies have been developed in the past few decades following the introduction of new seismic provisions and the availability of advanced materials and methods. it can be observed that new approaches to deal with more lateral forces are more innovative and more energy absorbent. in line with this, there is a growing trend toward the use of steel shear walls as a system with ...
In this paper we present a new type of multivariate GARCH model which we call the composed MGARCH and factor composed MGARCH models. We show sufficient conditions for the covariance stationarity of these processes and proof of the invariance of the models under linear combinations, an important property for factor modeling. Furthermore, we introduce an α-stable version of these models and fit a...
In empirical work on multivariate financial time series, it is common to postulate a Multivariate GARCH model. We show that the popular Gaussian quasi-maximum likelihood estimator of MGARCH models is very sensitive to outliers in the data. We propose to use robust M-estimators and provide asymptotic theory for M-estimators of MGARCH models. The Monte Carlo study and empirical application docume...
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
abstract this paper discusses several commonly used models for strategic marketing¹ including market environmental analysis methods (i.e. swot and pest analysis) and strategic marketing tools and techniques (i.e. boston matrix and shell directional policy matrix)and shows how these models may help a firm to achieve its strategic goals. at first, the main reason for doing this research is de...
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