Jump to main content

yr 〜
yr

Search results 10

金利プロセスと期間構造の特異性のモデル化と統計的検証

金利プロセスと期間構造の特異性のモデル化と統計的検証
Paper図書
倉澤資成, 横浜国立大学 [著][倉澤資成]2005-2007<Y151-H17530239>
National Diet Library
  • Subject Headingカルマンフィルター / ジャンプ / Stochastic Volatility / EGARCH

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
Digital文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, YasuhiroHitotsubashi Institute for Advanced Study, Hitotsubashi University2021-01
Available onlineOther Libraries in Japan
  • Summary, etc....nential GARCH (EGARCH) models using ......) and realized EGARCH(REGARCH) models using ...... (OLS) and the EGARCH and REGARCH models bythe quasi-maximum li...
  • Subject HeadingExponential GARCH (EGARCH) model Heterogeneous autoregr...

How Volatile is ENSO?

How Volatile is ENSO?
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-10KIER Discussion Paper729
Available onlineOther Libraries in Japan
  • Subject HeadingENSO SOI SOT Greenhouse Gas Emissions Volatility GARCH GJR EGARCH

Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms

Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms
Digital文書・図像類
岩壷, 健太郎, 稲垣, 一之Institute of Economic Research, Hitotsubashi University2006-12
Available onlineOther Libraries in Japan
  • Subject HeadingAsian financial crisis ADRs EGARCH Contagion

Dynamic Conditional Correlations for Asymmetric Processes

Dynamic Conditional Correlations for Asymmetric Processes
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper747
Available onlineOther Libraries in Japan
  • Summary, etc....nential GARCH (EGARCH) and GJR model......sting the WDCC-EGARCH and WDCC-GJR m......avour the WDCC-EGARCH model to the W...... that the WDCC-EGARCH-t model produces reasonable V...
  • Subject Heading...ishart process EGARCH GJR asymmetric BEKK heavy-tai...

How Volatile is ENSO?

How Volatile is ENSO?
Paper文書・図像類
Chu, LanFen, McAleer, Michael, Chen, Chi-Chung日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-635
Other Libraries in Japan
  • Subject HeadingENSO SOI SOT Volatility GARCH GJR EGARCH JEL Classifications: Q25, Q29...

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-08KIER Discussion Paper712
Available onlineOther Libraries in Japan
  • Subject Heading...isis GARCH GJR EGARCH HAR approximate long memory t...

Modelling the Asymmetric Volatility of Electronics Patents in the USA

Modelling the Asymmetric Volatility of Electronics Patents in the USA
Paper文書・図像類
Chan, Felix, Dora, Marinova, Michael, McAleer日本経済国際共同センター2003-03Discussion paper series. CIRJE-F2003-CF-208
Other Libraries in Japan
  • Subject HeadingElectronics partents patent share innovation GARCH GJR EGARCH asymmetry

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Paper文書・図像類
Chang, Chia-Lin, McAleer, Michael日本経済国際共同センター2010-02Discussion paper series. CIRJE-FCIRJE-F-716
Other Libraries in Japan
  • Subject Heading...isis GARCH GJR EGARCH HAR approximate long memory t...

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Paper文書・図像類
Chang, Chia-Lin, McAleer, Michael日本経済国際共同センター2009-11Discussion paper series. CIRJE-FCIRJE-F-691
Other Libraries in Japan
  • Subject Heading...ises GARCH GJR EGARCH HAR long memory asymmetry lev...

Reached to the end of result.

RSS