Advanced search options

Advanced Search Options 🞨

Browse by author name (“Author name starts with…”).

Find ETDs with:

in
/  
in
/  
in
/  
in

Written in Published in Earliest date Latest date

Sorted by

Results per page:

Sorted by: relevance · author · university · dateNew search

You searched for subject:(tGARCH). Showing records 1 – 7 of 7 total matches.

Search Limiters

Last 2 Years | English Only

No search limiters apply to these results.

▼ Search Limiters

1. Marques, Marta Isabel Guerreiro. Aplicação dos modelos GARCH, EGARCH e TGARCH no DAX-30.

Degree: 2017, Repositório Científico do Instituto Politécnico de Lisboa

Mestrado em Contabilidade e Análise Financeira

Este trabalho avalia o tema da volatilidade aplicada ao mercado bolsista internacional DAX-30. Volatilidade de um ativo é uma… (more)

Subjects/Keywords: DAX-30; Assimetria; Volatilidade; EGARCH; TGARCH

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Marques, M. I. G. (2017). Aplicação dos modelos GARCH, EGARCH e TGARCH no DAX-30. (Thesis). Repositório Científico do Instituto Politécnico de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/7211

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):

Marques, Marta Isabel Guerreiro. “Aplicação dos modelos GARCH, EGARCH e TGARCH no DAX-30.” 2017. Thesis, Repositório Científico do Instituto Politécnico de Lisboa. Accessed November 28, 2020. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/7211.

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

MLA Handbook (7th Edition):

Marques, Marta Isabel Guerreiro. “Aplicação dos modelos GARCH, EGARCH e TGARCH no DAX-30.” 2017. Web. 28 Nov 2020.

Vancouver:

Marques MIG. Aplicação dos modelos GARCH, EGARCH e TGARCH no DAX-30. [Internet] [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2017. [cited 2020 Nov 28]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/7211.

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

Council of Science Editors:

Marques MIG. Aplicação dos modelos GARCH, EGARCH e TGARCH no DAX-30. [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2017. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/7211

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

2. Aurélio, Cristina Maria Amaral. Assimetria na volatilidade dos mercados de acções.

Degree: 2012, Repositório Científico do Instituto Politécnico de Lisboa

Mestrado em Controlo e Gestão dos Negócios

O estudo da volatilidade é uma das ferramentas estatísticas mais importantes para os agentes económicos que operam no… (more)

Subjects/Keywords: Assimetria; Volatilidade; Índices Bolsistas; Modelos EGARCH e TGARCH

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Aurélio, C. M. A. (2012). Assimetria na volatilidade dos mercados de acções. (Thesis). Repositório Científico do Instituto Politécnico de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/2425

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):

Aurélio, Cristina Maria Amaral. “Assimetria na volatilidade dos mercados de acções.” 2012. Thesis, Repositório Científico do Instituto Politécnico de Lisboa. Accessed November 28, 2020. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/2425.

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

MLA Handbook (7th Edition):

Aurélio, Cristina Maria Amaral. “Assimetria na volatilidade dos mercados de acções.” 2012. Web. 28 Nov 2020.

Vancouver:

Aurélio CMA. Assimetria na volatilidade dos mercados de acções. [Internet] [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2012. [cited 2020 Nov 28]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/2425.

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

Council of Science Editors:

Aurélio CMA. Assimetria na volatilidade dos mercados de acções. [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2012. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/2425

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

3. Asceno, Elisete Alexandra Coelho. A assimetria na volatilidade das rendibilidades do preço do crude.

Degree: 2016, Repositório Científico do Instituto Politécnico de Lisboa

Dissertação de Mestrado em Contabilidade e Análise Financeira

Volatilidade refere-se às oscilações de uma determinada variável ao longo do tempo. Assim, facilmente se associa volatilidade… (more)

Subjects/Keywords: Petróleo; Preços do crude; Volatilidade; Assimetria; EGARCH; TGARCH; Oil; Crude Prices; Volatility; Asymmetry

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Asceno, E. A. C. (2016). A assimetria na volatilidade das rendibilidades do preço do crude. (Thesis). Repositório Científico do Instituto Politécnico de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/6314

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):

Asceno, Elisete Alexandra Coelho. “A assimetria na volatilidade das rendibilidades do preço do crude.” 2016. Thesis, Repositório Científico do Instituto Politécnico de Lisboa. Accessed November 28, 2020. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/6314.

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

MLA Handbook (7th Edition):

Asceno, Elisete Alexandra Coelho. “A assimetria na volatilidade das rendibilidades do preço do crude.” 2016. Web. 28 Nov 2020.

Vancouver:

Asceno EAC. A assimetria na volatilidade das rendibilidades do preço do crude. [Internet] [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2016. [cited 2020 Nov 28]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/6314.

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

Council of Science Editors:

Asceno EAC. A assimetria na volatilidade das rendibilidades do preço do crude. [Thesis]. Repositório Científico do Instituto Politécnico de Lisboa; 2016. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ipl.pt:10400.21/6314

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


Technical University of Lisbon

4. Ruivo, Sandra Cristina Rosa. Volatility forecasts and value-at-risk estimation using TGARCH model.

Degree: 2007, Technical University of Lisbon

Mestrado em Finanças

Value-at-Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk, mainly the market risk, of… (more)

Subjects/Keywords: Market Risk; Value-at-Risk; Volatility; Forecasting; TGARCH; Backtesting

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Ruivo, S. C. R. (2007). Volatility forecasts and value-at-risk estimation using TGARCH model. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/675

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):

Ruivo, Sandra Cristina Rosa. “Volatility forecasts and value-at-risk estimation using TGARCH model.” 2007. Thesis, Technical University of Lisbon. Accessed November 28, 2020. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/675.

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

MLA Handbook (7th Edition):

Ruivo, Sandra Cristina Rosa. “Volatility forecasts and value-at-risk estimation using TGARCH model.” 2007. Web. 28 Nov 2020.

Vancouver:

Ruivo SCR. Volatility forecasts and value-at-risk estimation using TGARCH model. [Internet] [Thesis]. Technical University of Lisbon; 2007. [cited 2020 Nov 28]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/675.

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

Council of Science Editors:

Ruivo SCR. Volatility forecasts and value-at-risk estimation using TGARCH model. [Thesis]. Technical University of Lisbon; 2007. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/675

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


KTH

5. Olsson, Philip. Volatilitetsprognoser på den svenska aktiemarknaden: Tillämpning av Arch Typ modeller.

Degree: Real Estate and Construction Management, 2015, KTH

Subjects/Keywords: ARCH(1); GARCH(1.1); TGARCH(1.1); volatility; forecasting; OMXS30; Sweden; ARCH(1); GARCH(1.1); TGARCH(1.1); volatilitet; prognoser; OMXS30; Sverige

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Olsson, P. (2015). Volatilitetsprognoser på den svenska aktiemarknaden: Tillämpning av Arch Typ modeller. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-170471

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):

Olsson, Philip. “Volatilitetsprognoser på den svenska aktiemarknaden: Tillämpning av Arch Typ modeller.” 2015. Thesis, KTH. Accessed November 28, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-170471.

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

MLA Handbook (7th Edition):

Olsson, Philip. “Volatilitetsprognoser på den svenska aktiemarknaden: Tillämpning av Arch Typ modeller.” 2015. Web. 28 Nov 2020.

Vancouver:

Olsson P. Volatilitetsprognoser på den svenska aktiemarknaden: Tillämpning av Arch Typ modeller. [Internet] [Thesis]. KTH; 2015. [cited 2020 Nov 28]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-170471.

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

Council of Science Editors:

Olsson P. Volatilitetsprognoser på den svenska aktiemarknaden: Tillämpning av Arch Typ modeller. [Thesis]. KTH; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-170471

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


Loughborough University

6. Tao, Juan. A re-examination of the relationship between FTSE100 index and futures prices.

Degree: PhD, 2008, Loughborough University

 This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets… (more)

Subjects/Keywords: 332; Cost of carry; Trend-corrected basis; Artificial price jumps; Vector error correction model (VECM); DCC-TGARCH; CCF test; Non-linear cointegration; Mispricing; Threshold VECM

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Tao, J. (2008). A re-examination of the relationship between FTSE100 index and futures prices. (Doctoral Dissertation). Loughborough University. Retrieved from http://hdl.handle.net/2134/8071

Chicago Manual of Style (16th Edition):

Tao, Juan. “A re-examination of the relationship between FTSE100 index and futures prices.” 2008. Doctoral Dissertation, Loughborough University. Accessed November 28, 2020. http://hdl.handle.net/2134/8071.

MLA Handbook (7th Edition):

Tao, Juan. “A re-examination of the relationship between FTSE100 index and futures prices.” 2008. Web. 28 Nov 2020.

Vancouver:

Tao J. A re-examination of the relationship between FTSE100 index and futures prices. [Internet] [Doctoral dissertation]. Loughborough University; 2008. [cited 2020 Nov 28]. Available from: http://hdl.handle.net/2134/8071.

Council of Science Editors:

Tao J. A re-examination of the relationship between FTSE100 index and futures prices. [Doctoral Dissertation]. Loughborough University; 2008. Available from: http://hdl.handle.net/2134/8071


Halmstad University

7. Somnicki, Emil. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation.

Degree: Computer and Electrical Engineering (IDE), 2010, Halmstad University

  The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars -… (more)

Subjects/Keywords: Fianncial Mathematics; Risk management; high frequency data; intraday; Value at Risk; VaR; Expected Shortfall; ES; NIG; nGARCH; tGARCH; NIG-GARCH; MATHEMATICS; MATEMATIK; Mathematical statistics; Matematisk statistik; Other mathematics; Övrig matematik; Applied mathematics; Tillämpad matematik

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

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

APA (6th Edition):

Somnicki, E. (2010). How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation. (Thesis). Halmstad University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337

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):

Somnicki, Emil. “How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation.” 2010. Thesis, Halmstad University. Accessed November 28, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337.

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

MLA Handbook (7th Edition):

Somnicki, Emil. “How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation.” 2010. Web. 28 Nov 2020.

Vancouver:

Somnicki E. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation. [Internet] [Thesis]. Halmstad University; 2010. [cited 2020 Nov 28]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337.

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

Council of Science Editors:

Somnicki E. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation. [Thesis]. Halmstad University; 2010. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337

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

.