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You searched for subject:(Volatility GARCH models). Showing records 1 – 30 of 46 total matches.

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Uppsala University

1. Han, Yang. Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models.

Degree: Statistics, 2011, Uppsala University

  This paper discusses the performance of modeling and forecasting volatility ofdaily stock returns of A-shares in Shanghai Stock Exchange. The volatility is modeledby GARCH(more)

Subjects/Keywords: Volatility GARCH models

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Han, Y. (2011). Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155066

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Han, Yang. “Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models.” 2011. Thesis, Uppsala University. Accessed October 16, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155066.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Han, Yang. “Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models.” 2011. Web. 16 Oct 2019.

Vancouver:

Han Y. Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models. [Internet] [Thesis]. Uppsala University; 2011. [cited 2019 Oct 16]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155066.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Han Y. Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models. [Thesis]. Uppsala University; 2011. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155066

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

2. Rojas Duran, William Gonzalo. Modelo GARCH com mudança de regime markoviano para séries financeiras.

Degree: Mestrado, Estatística, 2014, University of São Paulo

Neste trabalho analisaremos a utilização dos modelos de mudança de regime markoviano para a variância condicional. Estes modelos podem estimar de maneira fácil e inteligente… (more)

Subjects/Keywords: GARCH models; Markov regime switching; Modelos GARCH; Mudança de regime markoviano; Volatilidade; Volatility

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APA (6th Edition):

Rojas Duran, W. G. (2014). Modelo GARCH com mudança de regime markoviano para séries financeiras. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;

Chicago Manual of Style (16th Edition):

Rojas Duran, William Gonzalo. “Modelo GARCH com mudança de regime markoviano para séries financeiras.” 2014. Masters Thesis, University of São Paulo. Accessed October 16, 2019. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;.

MLA Handbook (7th Edition):

Rojas Duran, William Gonzalo. “Modelo GARCH com mudança de regime markoviano para séries financeiras.” 2014. Web. 16 Oct 2019.

Vancouver:

Rojas Duran WG. Modelo GARCH com mudança de regime markoviano para séries financeiras. [Internet] [Masters thesis]. University of São Paulo; 2014. [cited 2019 Oct 16]. Available from: http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;.

Council of Science Editors:

Rojas Duran WG. Modelo GARCH com mudança de regime markoviano para séries financeiras. [Masters Thesis]. University of São Paulo; 2014. Available from: http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;

3. Araújo, Marísia Adriana dos Reis. Análise de clusters e volatilidade de índices de acções.

Degree: 2010, Repositório Científico do Instituto Politécnico de Lisboa

Mestrado em Contabilidade e Gestão das Instituições Financeiras

A variância (volatilidade) de um activo é uma das informações mais importantes para os operadores do mercado… (more)

Subjects/Keywords: Volatilidade; Índices bolsistas; Modelos ARCH e GARCH; Clusters de volatilidade; Volatility; Stock markets indexes; ARCH and GARCH models; Volatility clustering

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APA (6th Edition):

Araújo, M. A. d. R. (2010). Análise de clusters e volatilidade de índices de acções. (Thesis). Repositório Científico do Instituto Politécnico de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/2613

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Araújo, Marísia Adriana dos Reis. “Análise de clusters e volatilidade de índices de acções.” 2010. Thesis, Repositório Científico do Instituto Politécnico de Lisboa. Accessed October 16, 2019. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/2613.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Araújo, Marísia Adriana dos Reis. “Análise de clusters e volatilidade de índices de acções.” 2010. Web. 16 Oct 2019.

Vancouver:

Araújo MAdR. Análise de clusters e volatilidade de índices de acções. [Internet] [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2010. [cited 2019 Oct 16]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/2613.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Araújo MAdR. Análise de clusters e volatilidade de índices de acções. [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2010. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/2613

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of KwaZulu-Natal

4. Gaston, Rugiranka Tony. Modelling of volatility in the South African mining sector : application of ARCH and GARCH models.

Degree: 2016, University of KwaZulu-Natal

Abstract available in PDF file. Advisors/Committee Members: Ramroop, Shaun. (advisor), Mwambi, Henry Godwell. (advisor).

Subjects/Keywords: GARCH model.; Volatility.; Multivonate GARCH models.; Stochestic volatility.

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APA (6th Edition):

Gaston, R. T. (2016). Modelling of volatility in the South African mining sector : application of ARCH and GARCH models. (Thesis). University of KwaZulu-Natal. Retrieved from http://hdl.handle.net/10413/14499

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Gaston, Rugiranka Tony. “Modelling of volatility in the South African mining sector : application of ARCH and GARCH models.” 2016. Thesis, University of KwaZulu-Natal. Accessed October 16, 2019. http://hdl.handle.net/10413/14499.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Gaston, Rugiranka Tony. “Modelling of volatility in the South African mining sector : application of ARCH and GARCH models.” 2016. Web. 16 Oct 2019.

Vancouver:

Gaston RT. Modelling of volatility in the South African mining sector : application of ARCH and GARCH models. [Internet] [Thesis]. University of KwaZulu-Natal; 2016. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10413/14499.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Gaston RT. Modelling of volatility in the South African mining sector : application of ARCH and GARCH models. [Thesis]. University of KwaZulu-Natal; 2016. Available from: http://hdl.handle.net/10413/14499

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

5. Salgado, José. What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?.

Degree: 2011, RCAAP

JEL: C22, C52, C53

This thesis focuses on forecasting realized volatility (RV) and implied volatility (IV) on equity markets, a subject of major importance for… (more)

Subjects/Keywords: Forecasting; Realized volatility; Implied volatility; GARCH models; Multiple regimes; Previsão; Volatilidade realizada; Volatilidade implícita; Modelos GARCH; Múltiplos regimes

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APA (6th Edition):

Salgado, J. (2011). What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4070

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Salgado, José. “What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?.” 2011. Thesis, RCAAP. Accessed October 16, 2019. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4070.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Salgado, José. “What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?.” 2011. Web. 16 Oct 2019.

Vancouver:

Salgado J. What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?. [Internet] [Thesis]. RCAAP; 2011. [cited 2019 Oct 16]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4070.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Salgado J. What best predicts realized and implied volatility: GARCH, GJR or FCGARCH?. [Thesis]. RCAAP; 2011. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4070

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

6. Serrasqueiro, Pedro. Realized volatility: assessing the predictive performance of parametric volatility models.

Degree: 2011, RCAAP

Mestrado em Finanças

A presente dissertação pretende efectuar uma avaliação da capacidade predictiva de vários modelos GARCH, nomeadamente os modelos GARCH, EGARCH e GJR-GARCH, comparando… (more)

Subjects/Keywords: Volatilidade Realizada (RV); Dados de alta-frequência; Modelos GARCH; Volatilidade assimétrica; Realized Volatility (RV); High frequency data; GARCH models; Asymmetric volatility

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Serrasqueiro, P. (2011). Realized volatility: assessing the predictive performance of parametric volatility models. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4331

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Serrasqueiro, Pedro. “Realized volatility: assessing the predictive performance of parametric volatility models.” 2011. Thesis, RCAAP. Accessed October 16, 2019. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4331.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Serrasqueiro, Pedro. “Realized volatility: assessing the predictive performance of parametric volatility models.” 2011. Web. 16 Oct 2019.

Vancouver:

Serrasqueiro P. Realized volatility: assessing the predictive performance of parametric volatility models. [Internet] [Thesis]. RCAAP; 2011. [cited 2019 Oct 16]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4331.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Serrasqueiro P. Realized volatility: assessing the predictive performance of parametric volatility models. [Thesis]. RCAAP; 2011. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/4331

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Ottawa

7. Rahmani, Mohammadsaeid. Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index .

Degree: 2016, University of Ottawa

 The statements that include sufficient detail to identify the probability distributions of future prices are asset price dynamics. In this research, using the empirical methods… (more)

Subjects/Keywords: Volatility Modelling; Long-memory; GARCH Models; Financial Time-series

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Rahmani, M. (2016). Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index . (Thesis). University of Ottawa. Retrieved from http://hdl.handle.net/10393/35064

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Rahmani, Mohammadsaeid. “Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index .” 2016. Thesis, University of Ottawa. Accessed October 16, 2019. http://hdl.handle.net/10393/35064.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Rahmani, Mohammadsaeid. “Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index .” 2016. Web. 16 Oct 2019.

Vancouver:

Rahmani M. Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index . [Internet] [Thesis]. University of Ottawa; 2016. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10393/35064.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Rahmani M. Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index . [Thesis]. University of Ottawa; 2016. Available from: http://hdl.handle.net/10393/35064

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

8. Fioruci, José Augusto. Modelagem de volatilidade via modelos GARCH com erros assimétricos: abordagem Bayesiana.

Degree: Mestrado, Ciências de Computação e Matemática Computacional, 2012, University of São Paulo

A modelagem da volatilidade desempenha um papel fundamental em Econometria. Nesta dissertação são estudados a generalização dos modelos autorregressivos condicionalmente heterocedásticos conhecidos como GARCH e… (more)

Subjects/Keywords: Asymmetric distributions; Bayesian inference; Distribuições assimétricas; GARCH models; Inferência Bayesiana; Modelagem de volatilidade; Modelos GARCH; Séries temporais; Time series; Volatility modeling

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APA (6th Edition):

Fioruci, J. A. (2012). Modelagem de volatilidade via modelos GARCH com erros assimétricos: abordagem Bayesiana. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/55/55134/tde-05092012-101345/ ;

Chicago Manual of Style (16th Edition):

Fioruci, José Augusto. “Modelagem de volatilidade via modelos GARCH com erros assimétricos: abordagem Bayesiana.” 2012. Masters Thesis, University of São Paulo. Accessed October 16, 2019. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-05092012-101345/ ;.

MLA Handbook (7th Edition):

Fioruci, José Augusto. “Modelagem de volatilidade via modelos GARCH com erros assimétricos: abordagem Bayesiana.” 2012. Web. 16 Oct 2019.

Vancouver:

Fioruci JA. Modelagem de volatilidade via modelos GARCH com erros assimétricos: abordagem Bayesiana. [Internet] [Masters thesis]. University of São Paulo; 2012. [cited 2019 Oct 16]. Available from: http://www.teses.usp.br/teses/disponiveis/55/55134/tde-05092012-101345/ ;.

Council of Science Editors:

Fioruci JA. Modelagem de volatilidade via modelos GARCH com erros assimétricos: abordagem Bayesiana. [Masters Thesis]. University of São Paulo; 2012. Available from: http://www.teses.usp.br/teses/disponiveis/55/55134/tde-05092012-101345/ ;

9. Rossetti, Nara. Análise da volatilidade dos mercados de renda fixa e renda variável de países emergentes e desenvolvidos no período de 2000 a 2011.

Degree: PhD, Economia, Organizações e Gestão do Conhecimento, 2013, University of São Paulo

O presente trabalho analisou as volatilidades dos mercados de renda fixa e variável de onze países, sendo eles: Brasil, Rússia, Índia, China, África do Sul… (more)

Subjects/Keywords: ARCH-GARCH models; Emerging Countries; Income fixed; Modelos ARCH-GARCH; Países emergentes; Renda fixa; Renda variável; Stock Market; Volatilidade; Volatility

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Rossetti, N. (2013). Análise da volatilidade dos mercados de renda fixa e renda variável de países emergentes e desenvolvidos no período de 2000 a 2011. (Doctoral Dissertation). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/18/18157/tde-10092015-094310/ ;

Chicago Manual of Style (16th Edition):

Rossetti, Nara. “Análise da volatilidade dos mercados de renda fixa e renda variável de países emergentes e desenvolvidos no período de 2000 a 2011.” 2013. Doctoral Dissertation, University of São Paulo. Accessed October 16, 2019. http://www.teses.usp.br/teses/disponiveis/18/18157/tde-10092015-094310/ ;.

MLA Handbook (7th Edition):

Rossetti, Nara. “Análise da volatilidade dos mercados de renda fixa e renda variável de países emergentes e desenvolvidos no período de 2000 a 2011.” 2013. Web. 16 Oct 2019.

Vancouver:

Rossetti N. Análise da volatilidade dos mercados de renda fixa e renda variável de países emergentes e desenvolvidos no período de 2000 a 2011. [Internet] [Doctoral dissertation]. University of São Paulo; 2013. [cited 2019 Oct 16]. Available from: http://www.teses.usp.br/teses/disponiveis/18/18157/tde-10092015-094310/ ;.

Council of Science Editors:

Rossetti N. Análise da volatilidade dos mercados de renda fixa e renda variável de países emergentes e desenvolvidos no período de 2000 a 2011. [Doctoral Dissertation]. University of São Paulo; 2013. Available from: http://www.teses.usp.br/teses/disponiveis/18/18157/tde-10092015-094310/ ;


Halmstad University

10. Pachentseva, Marina. On Stock Index Volatility With Respect to Capitalization.

Degree: Computer and Electrical Engineering (IDE), 2007, Halmstad University

  Condfidence in the future is a signicant factor for business development. However frequently, accurate and specific purposes are spread over the market environment influence.Thus,it… (more)

Subjects/Keywords: GARCH models; Volatility; Heston Model; Index

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Pachentseva, M. (2007). On Stock Index Volatility With Respect to Capitalization. (Thesis). Halmstad University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1189

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Pachentseva, Marina. “On Stock Index Volatility With Respect to Capitalization.” 2007. Thesis, Halmstad University. Accessed October 16, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1189.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Pachentseva, Marina. “On Stock Index Volatility With Respect to Capitalization.” 2007. Web. 16 Oct 2019.

Vancouver:

Pachentseva M. On Stock Index Volatility With Respect to Capitalization. [Internet] [Thesis]. Halmstad University; 2007. [cited 2019 Oct 16]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1189.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pachentseva M. On Stock Index Volatility With Respect to Capitalization. [Thesis]. Halmstad University; 2007. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1189

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

11. Milach, Felipe Tavares. Estimação da volatilidade : uma aplicação utilizando dados intradiários.

Degree: 2010, Universidade do Rio Grande do Sul

O estudo da volatilidade dos retornos dos ativos ocupa um lugar de destaque dentro da moderna teoria de finanças. Tradicionalmente, os modelos empregados para a… (more)

Subjects/Keywords: Volatility; Bolsa de valores; Mercado financeiro; GARCH models; Volatilidade; Realized variance; Forecasting; Financas : Acoes : Investimentos

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Milach, F. T. (2010). Estimação da volatilidade : uma aplicação utilizando dados intradiários. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/25153

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Milach, Felipe Tavares. “Estimação da volatilidade : uma aplicação utilizando dados intradiários.” 2010. Thesis, Universidade do Rio Grande do Sul. Accessed October 16, 2019. http://hdl.handle.net/10183/25153.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Milach, Felipe Tavares. “Estimação da volatilidade : uma aplicação utilizando dados intradiários.” 2010. Web. 16 Oct 2019.

Vancouver:

Milach FT. Estimação da volatilidade : uma aplicação utilizando dados intradiários. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2010. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10183/25153.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Milach FT. Estimação da volatilidade : uma aplicação utilizando dados intradiários. [Thesis]. Universidade do Rio Grande do Sul; 2010. Available from: http://hdl.handle.net/10183/25153

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

12. Oliveira, André Barbosa. Usando redes neurais para estimação da volatilidade : redes neurais e modelo híbrido GARCH aumentado por redes neurais.

Degree: 2010, Universidade do Rio Grande do Sul

As séries temporais financeiras são marcadas por comportamentos complexos e não-lineares. No mercado financeiro, além da trajetória das cotações, a sua variabilidade, representada pela volatilidade,… (more)

Subjects/Keywords: Volatility; Estimação; Modelo matemático; Artificial neural networks; Redes neurais; GARCH models; Volatilidade; Mercado financeiro

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APA (6th Edition):

Oliveira, A. B. (2010). Usando redes neurais para estimação da volatilidade : redes neurais e modelo híbrido GARCH aumentado por redes neurais. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/25787

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Oliveira, André Barbosa. “Usando redes neurais para estimação da volatilidade : redes neurais e modelo híbrido GARCH aumentado por redes neurais.” 2010. Thesis, Universidade do Rio Grande do Sul. Accessed October 16, 2019. http://hdl.handle.net/10183/25787.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Oliveira, André Barbosa. “Usando redes neurais para estimação da volatilidade : redes neurais e modelo híbrido GARCH aumentado por redes neurais.” 2010. Web. 16 Oct 2019.

Vancouver:

Oliveira AB. Usando redes neurais para estimação da volatilidade : redes neurais e modelo híbrido GARCH aumentado por redes neurais. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2010. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10183/25787.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Oliveira AB. Usando redes neurais para estimação da volatilidade : redes neurais e modelo híbrido GARCH aumentado por redes neurais. [Thesis]. Universidade do Rio Grande do Sul; 2010. Available from: http://hdl.handle.net/10183/25787

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

13. Srinivasan, K. An analysis of price volatility, trading volume and market depth of futures market in India; -.

Degree: Commerce, 2012, Pondicherry University

Many associate the financial market mostly with the equity market. The financial market is, of course, far broader, encompassing bonds, foreign exchange, real estate, commodities,… (more)

Subjects/Keywords: Forecasting; Trading Volume; Open Interest; Stock Futures Returns; Volatility; Modeling; GARCH Family Models

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APA (6th Edition):

Srinivasan, K. (2012). An analysis of price volatility, trading volume and market depth of futures market in India; -. (Thesis). Pondicherry University. Retrieved from http://shodhganga.inflibnet.ac.in/handle/10603/5536

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Srinivasan, K. “An analysis of price volatility, trading volume and market depth of futures market in India; -.” 2012. Thesis, Pondicherry University. Accessed October 16, 2019. http://shodhganga.inflibnet.ac.in/handle/10603/5536.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Srinivasan, K. “An analysis of price volatility, trading volume and market depth of futures market in India; -.” 2012. Web. 16 Oct 2019.

Vancouver:

Srinivasan K. An analysis of price volatility, trading volume and market depth of futures market in India; -. [Internet] [Thesis]. Pondicherry University; 2012. [cited 2019 Oct 16]. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/5536.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Srinivasan K. An analysis of price volatility, trading volume and market depth of futures market in India; -. [Thesis]. Pondicherry University; 2012. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/5536

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


The Ohio State University

14. Wang, Yuanfang. Alternative measures of volatility in agricultural futures markets.

Degree: PhD, Agricultural, Environmental and Development Economics, 2005, The Ohio State University

 The three essays of this thesis focus on modeling and forecasting agricultural futures market volatility utilizing two nonparametric volatility measures, realized volatility and range-based volatility.… (more)

Subjects/Keywords: GARCH; VOLATILITY; hedge ratios; GARCH models; hedge; realized volatility; hedging

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APA (6th Edition):

Wang, Y. (2005). Alternative measures of volatility in agricultural futures markets. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1111610770

Chicago Manual of Style (16th Edition):

Wang, Yuanfang. “Alternative measures of volatility in agricultural futures markets.” 2005. Doctoral Dissertation, The Ohio State University. Accessed October 16, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1111610770.

MLA Handbook (7th Edition):

Wang, Yuanfang. “Alternative measures of volatility in agricultural futures markets.” 2005. Web. 16 Oct 2019.

Vancouver:

Wang Y. Alternative measures of volatility in agricultural futures markets. [Internet] [Doctoral dissertation]. The Ohio State University; 2005. [cited 2019 Oct 16]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1111610770.

Council of Science Editors:

Wang Y. Alternative measures of volatility in agricultural futures markets. [Doctoral Dissertation]. The Ohio State University; 2005. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1111610770

15. Simões, Catarina do Couto. Cluster de volatilidade no mercado de taxas de câmbio USD/GBP.

Degree: 2014, Repositório Científico do Instituto Politécnico de Lisboa

Mestrado em Controlo de Gestão e dos Negócios

O mercado cambial é fundamental para as trocas entre agentes económicos de diferentes países, que na maioria… (more)

Subjects/Keywords: Mercado cambial; Taxas de câmbio; Volatilidade; Modelos ARCH e GARCH; Clusters de Volatilidade; Foreign exchange market; Exchange rates; Volatility; ARCH and GARCH Models; Volatility clustering

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APA (6th Edition):

Simões, C. d. C. (2014). Cluster de volatilidade no mercado de taxas de câmbio USD/GBP. (Thesis). Repositório Científico do Instituto Politécnico de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/4587

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Simões, Catarina do Couto. “Cluster de volatilidade no mercado de taxas de câmbio USD/GBP.” 2014. Thesis, Repositório Científico do Instituto Politécnico de Lisboa. Accessed October 16, 2019. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/4587.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Simões, Catarina do Couto. “Cluster de volatilidade no mercado de taxas de câmbio USD/GBP.” 2014. Web. 16 Oct 2019.

Vancouver:

Simões CdC. Cluster de volatilidade no mercado de taxas de câmbio USD/GBP. [Internet] [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2014. [cited 2019 Oct 16]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/4587.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Simões CdC. Cluster de volatilidade no mercado de taxas de câmbio USD/GBP. [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2014. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/4587

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Pontifical Catholic University of Rio de Janeiro

16. RODRIGO ALMEIDA DA FONSECA. [en] VOLATILITY FORECAST MODEL FOR MARKET INDEX USING FACTORS EXTRACTED FROM CREDIT RISK, INTEREST RATES, EXCHANGE RATES AND COMMODITIES PANELS.

Degree: 2018, Pontifical Catholic University of Rio de Janeiro

[pt] Esta Dissertação apresenta um modelo para extrair fatores capazes de prever a volatilidade do índice de ações IBOVESPA, representativo do mercado de ações brasileiro.… (more)

Subjects/Keywords: [pt] VOLATILIDADE; [en] VOLATILITY MODELS; [pt] MODELO GARCH; [en] GARCH MODEL; [pt] MODELO DE PRECIFICACAO POR FATORES; [en] FACTOR ASSET PRICING MODELS

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APA (6th Edition):

FONSECA, R. A. D. (2018). [en] VOLATILITY FORECAST MODEL FOR MARKET INDEX USING FACTORS EXTRACTED FROM CREDIT RISK, INTEREST RATES, EXCHANGE RATES AND COMMODITIES PANELS. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33203

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

FONSECA, RODRIGO ALMEIDA DA. “[en] VOLATILITY FORECAST MODEL FOR MARKET INDEX USING FACTORS EXTRACTED FROM CREDIT RISK, INTEREST RATES, EXCHANGE RATES AND COMMODITIES PANELS.” 2018. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed October 16, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33203.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

FONSECA, RODRIGO ALMEIDA DA. “[en] VOLATILITY FORECAST MODEL FOR MARKET INDEX USING FACTORS EXTRACTED FROM CREDIT RISK, INTEREST RATES, EXCHANGE RATES AND COMMODITIES PANELS.” 2018. Web. 16 Oct 2019.

Vancouver:

FONSECA RAD. [en] VOLATILITY FORECAST MODEL FOR MARKET INDEX USING FACTORS EXTRACTED FROM CREDIT RISK, INTEREST RATES, EXCHANGE RATES AND COMMODITIES PANELS. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. [cited 2019 Oct 16]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33203.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

FONSECA RAD. [en] VOLATILITY FORECAST MODEL FOR MARKET INDEX USING FACTORS EXTRACTED FROM CREDIT RISK, INTEREST RATES, EXCHANGE RATES AND COMMODITIES PANELS. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33203

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

17. Ribeiro, Bruno Passos Spínola. Modelagem e previsão de volatilidade para o setor siderúrgico brasileiro : volatilidade estocástica versus determinística.

Degree: 2009, Universidade do Rio Grande do Sul

A busca da correta modelagem e previsão de volatilidade em séries financeiras é o que motiva grande parte dos analistas e gestores de carteiras. Esta… (more)

Subjects/Keywords: Gerdau; Mercado financeiro; Usiminas; Volatilidade; CSN; Modelo de previsão; Ações; GARCH models; Indústria siderúrgica; Stochastic volatility; Kalman filter; Brasil

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APA (6th Edition):

Ribeiro, B. P. S. (2009). Modelagem e previsão de volatilidade para o setor siderúrgico brasileiro : volatilidade estocástica versus determinística. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/18302

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ribeiro, Bruno Passos Spínola. “Modelagem e previsão de volatilidade para o setor siderúrgico brasileiro : volatilidade estocástica versus determinística.” 2009. Thesis, Universidade do Rio Grande do Sul. Accessed October 16, 2019. http://hdl.handle.net/10183/18302.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ribeiro, Bruno Passos Spínola. “Modelagem e previsão de volatilidade para o setor siderúrgico brasileiro : volatilidade estocástica versus determinística.” 2009. Web. 16 Oct 2019.

Vancouver:

Ribeiro BPS. Modelagem e previsão de volatilidade para o setor siderúrgico brasileiro : volatilidade estocástica versus determinística. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2009. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10183/18302.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ribeiro BPS. Modelagem e previsão de volatilidade para o setor siderúrgico brasileiro : volatilidade estocástica versus determinística. [Thesis]. Universidade do Rio Grande do Sul; 2009. Available from: http://hdl.handle.net/10183/18302

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Humboldt University of Berlin

18. Benschop, Thijs. Volatility modelling of CO2 spot prices.

Degree: 2013, Humboldt University of Berlin

 In this paper we analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets… (more)

Subjects/Keywords: Statistik; Wirtschaft; CO2 Emission Trading; CO2 Emission Allowances; Spot Price Modelling; Markov Switching GARCH Models; Volatility Forecasting; ddc:330

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APA (6th Edition):

Benschop, T. (2013). Volatility modelling of CO2 spot prices. (Masters Thesis). Humboldt University of Berlin. Retrieved from http://edoc.hu-berlin.de/docviews/abstract.php?id=39939 ; http://edoc.hu-berlin.de/master/benschop-thijs-2013-03-04/PDF/benschop.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100207902

Chicago Manual of Style (16th Edition):

Benschop, Thijs. “Volatility modelling of CO2 spot prices.” 2013. Masters Thesis, Humboldt University of Berlin. Accessed October 16, 2019. http://edoc.hu-berlin.de/docviews/abstract.php?id=39939 ; http://edoc.hu-berlin.de/master/benschop-thijs-2013-03-04/PDF/benschop.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100207902.

MLA Handbook (7th Edition):

Benschop, Thijs. “Volatility modelling of CO2 spot prices.” 2013. Web. 16 Oct 2019.

Vancouver:

Benschop T. Volatility modelling of CO2 spot prices. [Internet] [Masters thesis]. Humboldt University of Berlin; 2013. [cited 2019 Oct 16]. Available from: http://edoc.hu-berlin.de/docviews/abstract.php?id=39939 ; http://edoc.hu-berlin.de/master/benschop-thijs-2013-03-04/PDF/benschop.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100207902.

Council of Science Editors:

Benschop T. Volatility modelling of CO2 spot prices. [Masters Thesis]. Humboldt University of Berlin; 2013. Available from: http://edoc.hu-berlin.de/docviews/abstract.php?id=39939 ; http://edoc.hu-berlin.de/master/benschop-thijs-2013-03-04/PDF/benschop.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100207902


Universidade do Rio Grande do Sul

19. Möbus, Thiago Forell. Comparação de modelos de previsão de volatilidade com dados diários e intradiários utilizando como função perda a lucratividade no mercado de derivativos.

Degree: 2012, Universidade do Rio Grande do Sul

Desde Markowitz (1952), a volatilidade tem ocupado um papel de grande importância dentro da moderna teoria das finanças. Durante muito tempo, a mensuração da volatilidade… (more)

Subjects/Keywords: Volatility; Volatilidade; Mercado de opções; GARCH models; Modelo econométrico; Bi-power variation; Modelo de previsão; Derivatives

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Möbus, T. F. (2012). Comparação de modelos de previsão de volatilidade com dados diários e intradiários utilizando como função perda a lucratividade no mercado de derivativos. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/70010

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Möbus, Thiago Forell. “Comparação de modelos de previsão de volatilidade com dados diários e intradiários utilizando como função perda a lucratividade no mercado de derivativos.” 2012. Thesis, Universidade do Rio Grande do Sul. Accessed October 16, 2019. http://hdl.handle.net/10183/70010.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Möbus, Thiago Forell. “Comparação de modelos de previsão de volatilidade com dados diários e intradiários utilizando como função perda a lucratividade no mercado de derivativos.” 2012. Web. 16 Oct 2019.

Vancouver:

Möbus TF. Comparação de modelos de previsão de volatilidade com dados diários e intradiários utilizando como função perda a lucratividade no mercado de derivativos. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2012. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10183/70010.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Möbus TF. Comparação de modelos de previsão de volatilidade com dados diários e intradiários utilizando como função perda a lucratividade no mercado de derivativos. [Thesis]. Universidade do Rio Grande do Sul; 2012. Available from: http://hdl.handle.net/10183/70010

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

20. Macêdo, Guilherme Ribeiro de. Análise da volatilidade de séries financeiras segundo a modelagem da família GARCH.

Degree: 2009, Universidade do Rio Grande do Sul

O conhecimento do risco de ativos financeiros é de fundamental importância para gestão ativa de carteiras, determinação de preços de opções e análise de sensibilidade… (more)

Subjects/Keywords: Volatility; Ativos financeiros : Precificação; GARCH models; Commodities : Investimento : Mercado de futuros; Análise financeira; Asymetrical; Risk; Standard deviation; Variance

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Macêdo, G. R. d. (2009). Análise da volatilidade de séries financeiras segundo a modelagem da família GARCH. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/15598

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Macêdo, Guilherme Ribeiro de. “Análise da volatilidade de séries financeiras segundo a modelagem da família GARCH.” 2009. Thesis, Universidade do Rio Grande do Sul. Accessed October 16, 2019. http://hdl.handle.net/10183/15598.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Macêdo, Guilherme Ribeiro de. “Análise da volatilidade de séries financeiras segundo a modelagem da família GARCH.” 2009. Web. 16 Oct 2019.

Vancouver:

Macêdo GRd. Análise da volatilidade de séries financeiras segundo a modelagem da família GARCH. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2009. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10183/15598.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Macêdo GRd. Análise da volatilidade de séries financeiras segundo a modelagem da família GARCH. [Thesis]. Universidade do Rio Grande do Sul; 2009. Available from: http://hdl.handle.net/10183/15598

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

21. Σταυρόπουλος, Κωνσταντίνος. Εμπειρική εκτίμηση συναρτήσεων προσφοράς και μεταβλητότητας τιμών κλάδων της ελληνικής αγοράς κρέατος.

Degree: 2010, University of Ioannina; Πανεπιστήμιο Ιωαννίνων

Uncertainty and risk aversion play an important role in primary commodities production and are of considerable economic interest. In particular, the price of agricultural products… (more)

Subjects/Keywords: Συνάρτηση προσφοράς; Μεταβλητότητα τιμών; Κρέατα, Αγορά; Μοντέλα GARCH; Κοινή αγροτική πολιτική; Ορθολογικές προσδοκίες; Supply response; Price volatility; Meat market; Garch models; Common agricultural policy; Rational expectations

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Σταυρόπουλος, . . (2010). Εμπειρική εκτίμηση συναρτήσεων προσφοράς και μεταβλητότητας τιμών κλάδων της ελληνικής αγοράς κρέατος. (Thesis). University of Ioannina; Πανεπιστήμιο Ιωαννίνων. Retrieved from http://hdl.handle.net/10442/hedi/20781

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Σταυρόπουλος, Κωνσταντίνος. “Εμπειρική εκτίμηση συναρτήσεων προσφοράς και μεταβλητότητας τιμών κλάδων της ελληνικής αγοράς κρέατος.” 2010. Thesis, University of Ioannina; Πανεπιστήμιο Ιωαννίνων. Accessed October 16, 2019. http://hdl.handle.net/10442/hedi/20781.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Σταυρόπουλος, Κωνσταντίνος. “Εμπειρική εκτίμηση συναρτήσεων προσφοράς και μεταβλητότητας τιμών κλάδων της ελληνικής αγοράς κρέατος.” 2010. Web. 16 Oct 2019.

Vancouver:

Σταυρόπουλος . Εμπειρική εκτίμηση συναρτήσεων προσφοράς και μεταβλητότητας τιμών κλάδων της ελληνικής αγοράς κρέατος. [Internet] [Thesis]. University of Ioannina; Πανεπιστήμιο Ιωαννίνων; 2010. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10442/hedi/20781.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Σταυρόπουλος . Εμπειρική εκτίμηση συναρτήσεων προσφοράς και μεταβλητότητας τιμών κλάδων της ελληνικής αγοράς κρέατος. [Thesis]. University of Ioannina; Πανεπιστήμιο Ιωαννίνων; 2010. Available from: http://hdl.handle.net/10442/hedi/20781

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

22. Lemos, Filipe Miguel Ganchinho. Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade.

Degree: 2015, Repositório Científico do Instituto Politécnico de Lisboa

Mestrado em Contabilidade e Análise Financeira

Nos últimos tempos tem-se observado oscilações na organização dos mercados financeiros, com mais enfâse nos mercados de derivados muito… (more)

Subjects/Keywords: Petróleo; Contratos futuros; Mercadorias; Derivados; Instrumentos financeiros; Volatilidade; Assimetria; Efeito alavanca; Modelos ARCH e GARCH; Oil; Futures contracts; Commodities; Derivatives; Financial instruments; Volatility; Asymmetry; Leverage effect; ARCH and GARCH models

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APA (6th Edition):

Lemos, F. M. G. (2015). Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade. (Thesis). Repositório Científico do Instituto Politécnico de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/6563

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Lemos, Filipe Miguel Ganchinho. “Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade.” 2015. Thesis, Repositório Científico do Instituto Politécnico de Lisboa. Accessed October 16, 2019. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/6563.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Lemos, Filipe Miguel Ganchinho. “Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade.” 2015. Web. 16 Oct 2019.

Vancouver:

Lemos FMG. Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade. [Internet] [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2015. [cited 2019 Oct 16]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/6563.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lemos FMG. Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade. [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2015. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/6563

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

23. Σαριαννίδης, Νικόλαος. Ανάλυση και αξιολόγηση των χρηματοικονομικών παραγώγων του Χ.Α.: ο παράγοντας της μεταβλητότητας.

Degree: 2007, Democritus University of Thrace (DUTH); Δημοκρίτειο Πανεπιστήμιο Θράκης (ΔΠΘ)

This study aims to contribute to the relevant literature by analyzing factors that affect the shape of the volatility of the Athens Exchange (ASE). Volatility(more)

Subjects/Keywords: Μεταβλητότητα; Κεφαλαιαγορές; Μοντέλα GARCH; Παράγωγα; Volatility; Stock market; Garch models; Derivatives

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Σαριαννίδης, . . (2007). Ανάλυση και αξιολόγηση των χρηματοικονομικών παραγώγων του Χ.Α.: ο παράγοντας της μεταβλητότητας. (Thesis). Democritus University of Thrace (DUTH); Δημοκρίτειο Πανεπιστήμιο Θράκης (ΔΠΘ). Retrieved from http://hdl.handle.net/10442/hedi/23714

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Σαριαννίδης, Νικόλαος. “Ανάλυση και αξιολόγηση των χρηματοικονομικών παραγώγων του Χ.Α.: ο παράγοντας της μεταβλητότητας.” 2007. Thesis, Democritus University of Thrace (DUTH); Δημοκρίτειο Πανεπιστήμιο Θράκης (ΔΠΘ). Accessed October 16, 2019. http://hdl.handle.net/10442/hedi/23714.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Σαριαννίδης, Νικόλαος. “Ανάλυση και αξιολόγηση των χρηματοικονομικών παραγώγων του Χ.Α.: ο παράγοντας της μεταβλητότητας.” 2007. Web. 16 Oct 2019.

Vancouver:

Σαριαννίδης . Ανάλυση και αξιολόγηση των χρηματοικονομικών παραγώγων του Χ.Α.: ο παράγοντας της μεταβλητότητας. [Internet] [Thesis]. Democritus University of Thrace (DUTH); Δημοκρίτειο Πανεπιστήμιο Θράκης (ΔΠΘ); 2007. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10442/hedi/23714.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Σαριαννίδης . Ανάλυση και αξιολόγηση των χρηματοικονομικών παραγώγων του Χ.Α.: ο παράγοντας της μεταβλητότητας. [Thesis]. Democritus University of Thrace (DUTH); Δημοκρίτειο Πανεπιστήμιο Θράκης (ΔΠΘ); 2007. Available from: http://hdl.handle.net/10442/hedi/23714

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

24. Santos, Douglas Gomes dos. Estimação de volatilidade em séries financeiras : modelos aditivos semi-paramétricos e GARCH.

Degree: 2008, Universidade do Rio Grande do Sul

A estimação e previsão da volatilidade de ativos são de suma importância para os mercados financeiros. Temas como risco e incerteza na teoria econômica moderna… (more)

Subjects/Keywords: Volatility; Mercado financeiro; Volatilidade; Additive models; Local polynomial regression; Bolsa de valores; Estimação; GARCH models; Modelo de previsão; Crisis; Indice economico : Teoria economica

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Santos, D. G. d. (2008). Estimação de volatilidade em séries financeiras : modelos aditivos semi-paramétricos e GARCH. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/14892

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Santos, Douglas Gomes dos. “Estimação de volatilidade em séries financeiras : modelos aditivos semi-paramétricos e GARCH.” 2008. Thesis, Universidade do Rio Grande do Sul. Accessed October 16, 2019. http://hdl.handle.net/10183/14892.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Santos, Douglas Gomes dos. “Estimação de volatilidade em séries financeiras : modelos aditivos semi-paramétricos e GARCH.” 2008. Web. 16 Oct 2019.

Vancouver:

Santos DGd. Estimação de volatilidade em séries financeiras : modelos aditivos semi-paramétricos e GARCH. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2008. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10183/14892.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Santos DGd. Estimação de volatilidade em séries financeiras : modelos aditivos semi-paramétricos e GARCH. [Thesis]. Universidade do Rio Grande do Sul; 2008. Available from: http://hdl.handle.net/10183/14892

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade Nova

25. Malska, Joanna. Does financial volatility help in explaining and predicting economic activity?.

Degree: 2017, Universidade Nova

 Driven by the difficulty to predict the last financial crisis and possible distortion of predictive power of the conventional financial indicators on economic activity, this… (more)

Subjects/Keywords: Capital markets uncertainty; Macroeconomic risk; Financial volatility; Dynamic factor model; Baxter king filter; Business cycle; Dynamic binary choice models; Garch models; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Malska, J. (2017). Does financial volatility help in explaining and predicting economic activity?. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26210

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Malska, Joanna. “Does financial volatility help in explaining and predicting economic activity?.” 2017. Thesis, Universidade Nova. Accessed October 16, 2019. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26210.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Malska, Joanna. “Does financial volatility help in explaining and predicting economic activity?.” 2017. Web. 16 Oct 2019.

Vancouver:

Malska J. Does financial volatility help in explaining and predicting economic activity?. [Internet] [Thesis]. Universidade Nova; 2017. [cited 2019 Oct 16]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26210.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Malska J. Does financial volatility help in explaining and predicting economic activity?. [Thesis]. Universidade Nova; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26210

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Pontifical Catholic University of Rio de Janeiro

26. DIOGO RIBEIRO ALMEIDA. [en] DOES GOVERNANCE REDUCE VOLATILITY?.

Degree: 2007, Pontifical Catholic University of Rio de Janeiro

[pt] Esta dissertação examina os impactos das boas práticas de governança corporativa na volatilidade dos retornos das ações dentro e fora de momentos de crise.… (more)

Subjects/Keywords: [pt] VOLATILIDADE; [en] VOLATILITY MODELS; [en] CORPORATE GOVERNANCE; [pt] MODELOS GARCH; [en] GARCH MODELS; [pt] HETEROCEDASTICIDADE; [en] HETEROSKEDASTICITY

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APA (6th Edition):

ALMEIDA, D. R. (2007). [en] DOES GOVERNANCE REDUCE VOLATILITY?. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10569

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

ALMEIDA, DIOGO RIBEIRO. “[en] DOES GOVERNANCE REDUCE VOLATILITY?.” 2007. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed October 16, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10569.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

ALMEIDA, DIOGO RIBEIRO. “[en] DOES GOVERNANCE REDUCE VOLATILITY?.” 2007. Web. 16 Oct 2019.

Vancouver:

ALMEIDA DR. [en] DOES GOVERNANCE REDUCE VOLATILITY?. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2007. [cited 2019 Oct 16]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10569.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

ALMEIDA DR. [en] DOES GOVERNANCE REDUCE VOLATILITY?. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2007. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10569

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

27. Cavalcante, Bruno Maia. Grau de investimento em economias emergentes e suas consequências sobre a volatilidade em bolsa de valores : os casos do México, Chile, Rússia, Índia e Coréia do Sul.

Degree: 2009, Universidade do Rio Grande do Sul

A elevação de economias emergentes ao status de Grau de Investimento (GI) atesta que o país premiado seja seguro para o investimento, ou seja, que… (more)

Subjects/Keywords: Investment grade; Investimento estrangeiro; Mercado financeiro; Emerging countries; Volatilidade; Volatility; GARCH models; Bolsa de valores; Países em desenvolvimento; México; Chile; Rússia; Índia; Coréia do Sul

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Cavalcante, B. M. (2009). Grau de investimento em economias emergentes e suas consequências sobre a volatilidade em bolsa de valores : os casos do México, Chile, Rússia, Índia e Coréia do Sul. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/18837

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Cavalcante, Bruno Maia. “Grau de investimento em economias emergentes e suas consequências sobre a volatilidade em bolsa de valores : os casos do México, Chile, Rússia, Índia e Coréia do Sul.” 2009. Thesis, Universidade do Rio Grande do Sul. Accessed October 16, 2019. http://hdl.handle.net/10183/18837.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Cavalcante, Bruno Maia. “Grau de investimento em economias emergentes e suas consequências sobre a volatilidade em bolsa de valores : os casos do México, Chile, Rússia, Índia e Coréia do Sul.” 2009. Web. 16 Oct 2019.

Vancouver:

Cavalcante BM. Grau de investimento em economias emergentes e suas consequências sobre a volatilidade em bolsa de valores : os casos do México, Chile, Rússia, Índia e Coréia do Sul. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2009. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10183/18837.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Cavalcante BM. Grau de investimento em economias emergentes e suas consequências sobre a volatilidade em bolsa de valores : os casos do México, Chile, Rússia, Índia e Coréia do Sul. [Thesis]. Universidade do Rio Grande do Sul; 2009. Available from: http://hdl.handle.net/10183/18837

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Western Ontario

28. Chu, Jingjia. Modelling the Common Risk among Equities Using a New Time Series Model.

Degree: 2018, University of Western Ontario

 A new additive structure of multivariate GARCH model is proposed where the dynamic changes of the conditional correlation between the stocks are aggregated by the… (more)

Subjects/Keywords: Common risk; Conditional Volatility; GARCH; Multivariate Time Series; Asymptotic Properties; Longitudinal Data Analysis and Time Series; Multivariate Analysis; Statistical Models; Statistical Theory; Statistics and Probability

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Chu, J. (2018). Modelling the Common Risk among Equities Using a New Time Series Model. (Thesis). University of Western Ontario. Retrieved from https://ir.lib.uwo.ca/etd/5223

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chu, Jingjia. “Modelling the Common Risk among Equities Using a New Time Series Model.” 2018. Thesis, University of Western Ontario. Accessed October 16, 2019. https://ir.lib.uwo.ca/etd/5223.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chu, Jingjia. “Modelling the Common Risk among Equities Using a New Time Series Model.” 2018. Web. 16 Oct 2019.

Vancouver:

Chu J. Modelling the Common Risk among Equities Using a New Time Series Model. [Internet] [Thesis]. University of Western Ontario; 2018. [cited 2019 Oct 16]. Available from: https://ir.lib.uwo.ca/etd/5223.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chu J. Modelling the Common Risk among Equities Using a New Time Series Model. [Thesis]. University of Western Ontario; 2018. Available from: https://ir.lib.uwo.ca/etd/5223

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

29. Yfanti, Stavroula. Non-linear time series models with applications to financial data.

Degree: PhD, 2014, Brunel University

 The purpose of this thesis is to investigate the financial volatility dynamics through the GARCH modelling framework. We use univariate and multivariate GARCH-type models enriched… (more)

Subjects/Keywords: 330.01; Garch models; Volatility modelling; Structural breaks; Financial crisis

…139 4.2.2 GARCH modelling with realised volatility and high frequency data… …141 4.2.3 Multiplicative Error Models for realised volatility and the HEAVY specification… …145 ix 4.3.1 The benchmark HEAVY/GARCH/MEM models… …allowing for breaks in the variance 3.3 The estimated univariate GARCH (1, 1) models… …the AGARCH (1,1) models 3.5 The persistence of the GARCH (1,1) allowing… 

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APA (6th Edition):

Yfanti, S. (2014). Non-linear time series models with applications to financial data. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/9247 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629972

Chicago Manual of Style (16th Edition):

Yfanti, Stavroula. “Non-linear time series models with applications to financial data.” 2014. Doctoral Dissertation, Brunel University. Accessed October 16, 2019. http://bura.brunel.ac.uk/handle/2438/9247 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629972.

MLA Handbook (7th Edition):

Yfanti, Stavroula. “Non-linear time series models with applications to financial data.” 2014. Web. 16 Oct 2019.

Vancouver:

Yfanti S. Non-linear time series models with applications to financial data. [Internet] [Doctoral dissertation]. Brunel University; 2014. [cited 2019 Oct 16]. Available from: http://bura.brunel.ac.uk/handle/2438/9247 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629972.

Council of Science Editors:

Yfanti S. Non-linear time series models with applications to financial data. [Doctoral Dissertation]. Brunel University; 2014. Available from: http://bura.brunel.ac.uk/handle/2438/9247 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629972


Università Cattolica del Sacro Cuore

30. DELLA NOCE, MATTEO. Un modello VAR-GARCH multivariato per il mercato elettrico italiano.

Degree: 2011, Università Cattolica del Sacro Cuore

E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere… (more)

Subjects/Keywords: SECS-S/03: STATISTICA ECONOMICA; SECS-P/05: ECONOMETRIA; SECS-P/02: POLITICA ECONOMICA; Electricity spot prices, Forecasting, Multivariate GARCH models, Conditional volatility, Impulse response functions, Integration of energy markets, Prezzi elettrici spot, Previsioni, Modelli GARCH multivariati, Volatilità condizionata, Integrazione dei mercati dell'energia

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APA (6th Edition):

DELLA NOCE, M. (2011). Un modello VAR-GARCH multivariato per il mercato elettrico italiano. (Doctoral Dissertation). Università Cattolica del Sacro Cuore. Retrieved from http://hdl.handle.net/10280/1108

Chicago Manual of Style (16th Edition):

DELLA NOCE, MATTEO. “Un modello VAR-GARCH multivariato per il mercato elettrico italiano.” 2011. Doctoral Dissertation, Università Cattolica del Sacro Cuore. Accessed October 16, 2019. http://hdl.handle.net/10280/1108.

MLA Handbook (7th Edition):

DELLA NOCE, MATTEO. “Un modello VAR-GARCH multivariato per il mercato elettrico italiano.” 2011. Web. 16 Oct 2019.

Vancouver:

DELLA NOCE M. Un modello VAR-GARCH multivariato per il mercato elettrico italiano. [Internet] [Doctoral dissertation]. Università Cattolica del Sacro Cuore; 2011. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/10280/1108.

Council of Science Editors:

DELLA NOCE M. Un modello VAR-GARCH multivariato per il mercato elettrico italiano. [Doctoral Dissertation]. Università Cattolica del Sacro Cuore; 2011. Available from: http://hdl.handle.net/10280/1108

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