Search results for "garch"
showing 10 items of 43 documents
Algunas consideraciones sobre el urbanismo público en Valencia durante la primera mitad del siglo XV = Some thoughts on public urbanism in Valencia d…
2015
El urbanismo público bajomedieval en la ciudad de Valencia se rigió principalmente en base a la actuación de los jurats, el poder ejecutivo de ésta, y la Junta de Murs i Valls, una institución creada el 1358 para gestionar las obras de muros, valladares o caminos de la urbe y su término, entre otras competencias. El devenir de este urbanismo, que cabe separar pero no individualizar del mercado inmobiliario privado, se debe entender, como se pretende enfocar en este artículo, a partir de interpretaciones económicas y sociales y que van más allá de las estrictamente estéticas o artísticas. A través de las fuentes administrativas (Manuals de Consells) se puede analizar la participación activa …
Les modèles de classe ARC
1993
The aim of this document is a presentation of the Arch process which allows a new and powerful technic for modelling behaviour on financial markets. From the seminal paper of ENGLE (1982), numerous extensions were proposed to adapt this specification of the Arch process to particular situations. These models are presented here, with adapted estimation methods and some appropriate tests.
Exploring the Hedging Effectiveness of European Wheat Futures Markets during the 2007-2012 Period
2014
Abstract The hypothesis that speculative behaviour was the cause of the instability of commodity prices has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the price instability observed after 2007. Indirectly, this could also be thought as a test of whether the increasing presence of speculators in futures markets have made them divorced from physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. No important evidence was found of a change in the hedging effectiveness after 2007.
Ether-Lipids Are Involved in Retinal Vegf Expression and in Postnatal Hyaloid Vessel Regression
2009
Purpose:Ether-lipids are phospholipids that represent about 13% of retinal lipids and whose exact functions remain unknown. However, the preferential esterification of polyunsaturated fatty acids (PUFAs) at the sn-2 position of ether-lipids and their liberation by an ether-lipid-specific phospholipase A2 suggest their involvement in cell signaling processes. Based on the data showing the persistence of the hyaloid vasculature in ether-lipid-deficient mice (DAPAT-/- mice, Rodemer et al Hum Mol Genet 2003), we further investigated the molecular mechanisms by which ether-lipids may regulate hyaloid vessels regression during post-natal development. Methods:C57BL/6 mice were treated at birth eit…
From US Colony to Independent Country: The Construction of a State
2017
This chapter covers the twentieth century, when the Philippines were changed by the US colonization after a brutal war of conquest. Progress in education, medicine, urbanization and transportation was obvious, while the Americans fostered the development of a Filipino political class that was called to govern the country alongside American political ideals, as was hoped with the implementation of the Philippine Commonwealth in 1935 under president Quezon. The difficult years of the Japanese occupation gave place to an independent nation in 1946, which had to deal with the presence of US military bases during the Cold War, profound social inequalities inherited from the Spanish period, and a…
On Independent Component Analysis with Stochastic Volatility Models
2017
Consider a multivariate time series where each component series is assumed to be a linear mixture of latent mutually independent stationary time series. Classical independent component analysis (ICA) tools, such as fastICA, are often used to extract latent series, but they don't utilize any information on temporal dependence. Also financial time series often have periods of low and high volatility. In such settings second order source separation methods, such as SOBI, fail. We review here some classical methods used for time series with stochastic volatility, and suggest modifications of them by proposing a family of vSOBI estimators. These estimators use different nonlinearity functions to…
Firm Size and Volatility Analysis in the Spanish Stock Market
2011
In this article, three strongly related questions are studied. First, volatility spillovers between large and small firms in the Spanish stock market are analyzed by using a conditional CAPM with an asymmetric multivariate GARCH-M covariance structure. Results show that there exist bidirectional volatility spillovers between both types of firms, especially after bad news. Second, the volatility feedback hypothesis explaining the volatility asymmetry feature is investigated. Results show significant evidence for this hypothesis. Finally, the study uncovers that conditional beta coefficient estimates within the used model are insensitive to sign and size asymmetries in the unexpected shock re…
Time-varying conditional correlation : effect on international portfolio diversification in Southeast Asia
2017
Tämä tutkimus tarkastelee USA:n ja valittujen Kaakkois-Aasian kehittyvien maiden markkinoita; Philippiinejä, Indonesiaa, Malesiaa ja Thaimaata. Tutkimus antaa tuloksia sekä USA:n että indonesialaisen sijoittajan näkökulmasta. Merkittävä rooli tutkimuksessa on ajassa muuttuvan korrelaation havainnollistamisessa osakeindeksien välillä käyttäen apuna Englen vuonna 2002 esittelemää DCC-GARCH mallia. Tutkimuksessa käytetty data on vuodesta 1988 vuoteen 2015 saakka. Tulokset paljastavat kuinka valittujen osakemarkkinoiden välinen korrelaatio on muuttunut kolmen kriisin - Aasian kriisin, teknologiakuplan ja globaali talouskriisin - myötä ja onko muutos ollut pysyvää vai ei. Lisäksi tutkimuksessa t…
Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models
2013
This paper aims to analyse the market risk (estimated by Value-at-Risk) on the Romanian capital market using modern econometric tools to estimate volatility, such as EWMA, GARCH models. In this respect, I want to identify the most appropriate volatility forecasting model to estimate the Value-at-Risk (VaR) of a portofolio of representative indices (BET, BET-FI and RASDAQ-C). VaR depends on the volatility, time horizon and confidence interval for the continuous returns under analysis. Volatility tends to happen in clusters. The assumption that volatility remains constant at all times can be fatal. It is determined that the most recent data have asserted more influence on future volatility th…
Akciju ienesīguma volatilitātes modelēšana un prognozēšana
2015
Maģistra darbā ir veikta analīze par akciju volatilitātes transmisijas mehānismu laikā pieciem lielākajiem pēc pārdošanas apjoma informāciju tehnoloģiju un servisa uzņēmumiem Eiropā un pieciem šādiem uzņēmumiem ASV, izmantojot GARCH saimes modeļus. Darba empīriskajā daļā tiek izmantoti dati par laika periodu 01.01.2002. - 23.02.2015., un veidoti GARCH, TGARCH, EGARCH modeļi ar dažādām p un q kārtām, lai noskaidrotu modeli, kurš precīzāk spēj prognozēt akciju ienesīguma volatilitāti. Rezultāti liecina, ka parauga ietvaros veiktajai prognozēšanai Eiropas uzņēmumiem labākie ir EGARCH un GARCH modeļi, bet ASV uzņēmumiem – TGARCH un EGARCH. Savukārt veicot prognozi ārpus parauga, Eiropas uzņēmum…