Garch Processes; RCA Models; Garch Models; Time Varying Volatility; Kurtosis - Articles

Option Pricing Applications of Quadratic Volatility Models (Articles)

Srimantoorao. S. Appadoo, Aerambamoorthy Thavaneswaran, Saman Muthukumarana

Journal of Mathematical Finance Vol.2 No.2，May 23, 2012

DOI: 10.4236/jmf.2012.22017 4,532 Downloads 9,031 Views Citations
Modeling Exchange Rate Dynamics in Egypt: Observed and Unobserved Volatility (Articles)

Dina Rofael, Rana Hosni

Modern Economy Vol.6 No.1，January 14, 2015

DOI: 10.4236/me.2015.61006 4,223 Downloads 5,807 Views Citations
On the Contribution of the Stochastic Integrals to Econometrics (Articles)

Lewis N. K. Mambo, Rostin M. M. Mabela, Isaac K. Kanyama, Eugène M. Mbuyi

Applied Mathematics Vol.10 No.12，December 23, 2019

DOI: 10.4236/am.2019.1012073 567 Downloads 1,662 Views Citations
Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models (Articles)

Manamba Epaphra

Journal of Mathematical Finance Vol.7 No.1，February 6, 2017

DOI: 10.4236/jmf.2017.71007 3,946 Downloads 11,184 Views Citations
An Empirical Evaluation in GARCH Volatility Modeling: Evidence from the Stockholm Stock Exchange (Articles)

Chaido Dritsaki

Journal of Mathematical Finance Vol.7 No.2，May 19, 2017

DOI: 10.4236/jmf.2017.72020 3,101 Downloads 6,891 Views Citations
Volatility Prediction: A Study with Structural Breaks (Articles)

Dilip Kumar

Theoretical Economics Letters Vol.8 No.6，April 23, 2018

DOI: 10.4236/tel.2018.86080 915 Downloads 1,961 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Impact of Macroeconomic Volatility on Stock Market Volatility in Bangladesh (Articles)

Md. Rafiqul Matin

Journal of Financial Risk Management Vol.12 No.3，September 20, 2023

DOI: 10.4236/jfrm.2023.123013 21 Downloads 68 Views Citations
This article belongs to the Special Issue on Financial, Operational, and Business Risk
Modeling Stock Market Volatility Using GARCH Models: A Case Study of Nairobi Securities Exchange (NSE) (Articles)

Arfa Maqsood, Suboohi Safdar, Rafia Shafi, Ntato Jeremiah Lelit

Open Journal of Statistics Vol.7 No.2，April 30, 2017

DOI: 10.4236/ojs.2017.72026 2,324 Downloads 7,528 Views Citations
Unravelling the Cipher of Indian Rupee’s Volatility: Testing the Forecasting Efficacy of the Rolling Symmetric and Asymmetric GARCH Models (Articles)

Shalini Talwar, Aparna Bhat

Theoretical Economics Letters Vol.8 No.6，April 23, 2018

DOI: 10.4236/tel.2018.86079 596 Downloads 1,331 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
A Review of Price Forecasting Problem and Techniques in Deregulated Electricity Markets (Articles)

Nitin Singh, S. R. Mohanty

Journal of Power and Energy Engineering Vol.3 No.9，September 10, 2015

DOI: 10.4236/jpee.2015.39001 6,157 Downloads 9,085 Views Citations
Financial Time Series Modelling of Trends and Patterns in the Energy Markets (Articles)

Jane Aduda, Patrick Weke, Philip Ngare, Joseph Mwaniki

Journal of Mathematical Finance Vol.6 No.2，May 23, 2016

DOI: 10.4236/jmf.2016.62027 2,792 Downloads 4,376 Views Citations
Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market (Articles)

Andre Assis de Salles, Maria Eduarda Silva, Paulo Teles

Open Journal of Business and Management Vol.10 No.1，January 7, 2022

DOI: 10.4236/ojbm.2022.101010 119 Downloads 679 Views Citations
ANN-Time Varying GARCH Model for Processes with Fixed and Random Periodicity (Articles)

Elias K. Karuiru, John Mwaniki Kihoro, Thomas Mageto, Anthony Gichuhi Waititu

Open Journal of Statistics Vol.11 No.5，October 8, 2021

DOI: 10.4236/ojs.2021.115040 118 Downloads 653 Views Citations
ANN-Time Varying GARCH Model: Simulations and Application in Modelling Temperature for Weather Derivatives (Articles)

Elias K. Karuiru, John Mwaniki Kihoro, Thomas Mageto, Anthony Gichuhi Waititu

Open Journal of Statistics Vol.12 No.3，June 30, 2022

DOI: 10.4236/ojs.2022.123027 151 Downloads 593 Views Citations
Volatility in High-Frequency Intensive Care Mortality Time Series: Application of Univariate and Multivariate GARCH Models (Articles)

John L. Moran, Patricia J. Solomon

Open Journal of Applied Sciences Vol.7 No.8，August 11, 2017

DOI: 10.4236/ojapps.2017.78030 1,273 Downloads 3,222 Views Citations
Stock Exchanges Comparison between Mainland China and H.K. Based on the SVL Model (Articles)

Jiahui Lin

Open Journal of Statistics Vol.7 No.3，May 11, 2017

DOI: 10.4236/ojs.2017.73027 1,634 Downloads 3,593 Views Citations
Composite Likelihood for Bilinear GARCH Model (Articles)

Abdelhalim Bouchemella, Fatima Zahra Benmostefa

Applied Mathematics Vol.5 No.15，August 14, 2014

DOI: 10.4236/am.2014.515225 4,391 Downloads 5,399 Views Citations
Variable Selection in Finite Mixture of Time-Varying Regression Models (Articles)

Jing Liu, Wanzhou Ye

Advances in Pure Mathematics Vol.10 No.3，March 6, 2020

DOI: 10.4236/apm.2020.103007 470 Downloads 1,071 Views Citations
Measuring and Comparing the Value-at-Risk Using GARCH and CARR Models for CSI 300 Index (Articles)

Chunchou Wu

Theoretical Economics Letters Vol.8 No.6，April 23, 2018

DOI: 10.4236/tel.2018.86078 904 Downloads 3,714 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Growth and Volatility: An Analysis for the Brazilian Economy (Articles)

Elano Ferreira Arruda, Felipe de Sousa Bastos, Pablo Urano de Carvalho Castelar, Fernando Marques Mansilla, Antônio Clécio de Brito

Theoretical Economics Letters Vol.9 No.7，October 24, 2019

DOI: 10.4236/tel.2019.97165 506 Downloads 1,371 Views Citations

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