Search results for "GARCH"

Hits ?▲	Authors	Title	Venue	Year	Link
17	Pichayakone Rakpho, Woraphon Yamaka, Rungrapee Phadkantha	Predicting Energy Price Volatility Using Hybrid Artificial Neural Networks with GARCH-Type Models.	IUKM	2022	DBLP DOI BibTeX RDF
17	Roengchai Tansuchat, Pichayakone Rakpho	Hedging Agriculture Commodities Futures with Histogram Data Based on Conditional Copula-GJR-GARCH.	IUKM	2022	DBLP DOI BibTeX RDF
17	Vikrant Vikram Singh, Harendra Singh, Aditya Gupta, Prashant Dev Yadav	Cryptocurrency as a Hedging Alternative- DCC GARCH Model Analysis using R Programming.	IC3I	2022	DBLP DOI BibTeX RDF
17	Firuz Kamalov, Ikhlaas Gurrib, Sherif Moussa, Amril Nazir	A Comparative Study of Autoregressive and Neural Network Models: Forecasting the GARCH Process.	ICIC (3)	2022	DBLP DOI BibTeX RDF
17	Amadeo Christopher, Kevin Deniswara, Bambang Leo Handoko	Forecasting Cryptocurrency Volatility Using GARCH and ARCH Model.	ICEEG	2022	DBLP DOI BibTeX RDF
17	Hao Qi, Yuanshen Wang	Prediction and Analysis of Stock Logarithmic Returns Based on ARMA-GARCH Model.	CECNet	2022	DBLP DOI BibTeX RDF
17	Mohammad Hadi Doroudyan, Seyed Taghi Akhavan Niaki	Pattern recognition in financial surveillance with the ARMA-GARCH time series model using support vector machine.	Expert Syst. Appl.	2021	DBLP DOI BibTeX RDF
17	Mehdi Zolfaghari, Samad Gholami	A hybrid approach of adaptive wavelet transform, long short-term memory and ARIMA-GARCH family models for the stock index prediction.	Expert Syst. Appl.	2021	DBLP DOI BibTeX RDF
17	Serkan Aras	Stacking hybrid GARCH models for forecasting Bitcoin volatility.	Expert Syst. Appl.	2021	DBLP DOI BibTeX RDF
17	Chong Wang, Yuesong Wei	Simulation of financial risk spillover effect based on ARMA-GARCH and fuzzy calculation model.	J. Intell. Fuzzy Syst.	2021	DBLP DOI BibTeX RDF
17	Jie Tian, Yaoqiang Wang, Wenjing Cui, Kun Zhao	Simulation analysis of financial stock market based on machine learning and GARCH model.	J. Intell. Fuzzy Syst.	2021	DBLP DOI BibTeX RDF
17	Sauraj Verma	Forecasting volatility of crude oil futures using a GARCH-RNN hybrid approach.	Intell. Syst. Account. Finance Manag.	2021	DBLP DOI BibTeX RDF
17	Genaro Sucarrat	garchx: Flexible and Robust GARCH-X Modeling.	R J.	2021	DBLP DOI BibTeX RDF
17	Martha Flores-Sosa, Ezequiel Avilés-Ochoa, José M. Merigó, Ronald R. Yager	Volatility GARCH models with the ordered weighted average (OWA) operators.	Inf. Sci.	2021	DBLP DOI BibTeX RDF
17	Oscar V. De la Torre-Torres, Dora Aguilasocho-Montoya, José Álvarez-García	Testing an Algorithm with Asymmetric Markov-Switching GARCH Models in US Stock Trading.	Symmetry	2021	DBLP DOI BibTeX RDF
17	Farhat Iqbal, Kostas Triantafyllopoulos	Bayesian inference of multivariate rotated GARCH models with skew returns.	Commun. Stat. Simul. Comput.	2021	DBLP DOI BibTeX RDF
17	K. Djeddour-Djaballah, L. Kerar	Quasi-maximum likelihood estimation of GARCH with student distributed noise.	Commun. Stat. Simul. Comput.	2021	DBLP DOI BibTeX RDF
17	Qi Li, Huaping Chen 0004, Fukang Zhu	Robust Estimation for Poisson Integer-Valued GARCH Models Using a New Hybrid Loss.	J. Syst. Sci. Complex.	2021	DBLP DOI BibTeX RDF
17	Cathy W. S. Chen, Sangyeol Lee, Khemmanant Khamthong	Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts.	Comput. Stat.	2021	DBLP DOI BibTeX RDF
17	Maddalena Cavicchioli	Statistical inference for mixture GARCH models with financial application.	Comput. Stat.	2021	DBLP DOI BibTeX RDF
17	Qing Zhu, Jiarui Li, Renxian Zuo, Zheyu Guo	New weather indices for China: based on DCC-GARCH and GRU models.	Int. J. Serv. Technol. Manag.	2021	DBLP DOI BibTeX RDF
17	Philippe Rast, Stephen Martin	bmgarch: An R-Package for Bayesian Multivariate GARCH models.	J. Open Source Softw.	2021	DBLP DOI BibTeX RDF
17	Xianfu Lin, Yuzhang Huang	Short-Term High-Speed Traffic Flow Prediction Based on ARIMA-GARCH-M Model.	Wirel. Pers. Commun.	2021	DBLP DOI BibTeX RDF
17	Curtis Nybo	Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks.	CoRR	2021	DBLP BibTeX RDF
17	Jaydip Sen, Sidra Mehtab, Abhishek Dutta 0002	Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH.	CoRR	2021	DBLP BibTeX RDF
17	Zhishun Wang, Wei Lu, Kaixin Zhang, Tianhao Li, Zixi Zhao	MCTG: Multi-frequency continuous-share trading algorithm with GARCH based on deep reinforcement learning.	CoRR	2021	DBLP BibTeX RDF
17	Lucien Boulet	Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs.	CoRR	2021	DBLP BibTeX RDF
17	Vahidreza Gharehbaghi, Hashem Kalbkhani, Ehsan Noroozinejad Farsangi, Tony T. Y. Yang, Seyedali Mirjalili	A Data-Driven Approach for Linear and Nonlinear Damage Detection Using Variational Mode Decomposition and GARCH Model.	CoRR	2021	DBLP BibTeX RDF
17	Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft	Option pricing with conditional GARCH models.	Eur. J. Oper. Res.	2021	DBLP DOI BibTeX RDF
17	Serkan Aras	On improving GARCH volatility forecasts for Bitcoin via a meta-learning approach.	Knowl. Based Syst.	2021	DBLP DOI BibTeX RDF
17	Chuanhui Wang, Li-ping Wang, Wei-feng Gong, Hai-xia Zhang, Xia Liu	Price Risk Measurement of China's Soybean Futures Market Based on the VAR-GJR-GARCH Model.	Complex.	2021	DBLP DOI BibTeX RDF
17	Maria V. Kulikova, Julia V. Tsyganova, Gennady Yu. Kulikov	SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation.	J. Comput. Appl. Math.	2021	DBLP DOI BibTeX RDF
17	Yinan Li, Fang Liu 0006	Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation.	ECML/PKDD (1)	2021	DBLP DOI BibTeX RDF
17	Zidi Gao, Yiwen He, Ercan Engin Kuruoglu	A Hybrid Model Integrating LSTM and Garch for Bitcoin Price Prediction.	MLSP	2021	DBLP DOI BibTeX RDF
17	Naledi Blessing Mokoena, Johannes Tshepiso Tsoku, Martin Chanza	Modelling External Debt Using VECM and GARCH Models.	ICO	2021	DBLP DOI BibTeX RDF
17	Antonio Naimoli, Giuseppe Storti	Multiple Measures Realized GARCH Models.	SIS	2021	DBLP DOI BibTeX RDF
17	Zhenyu Wu, Yangkai Guo	Does Free Trade Agreement Influence the Volatility Spillover between Stock Markets of China and Australia: A Wavelet Multiresolution GARCH-BEKK Approach.	ICCIR	2021	DBLP DOI BibTeX RDF
17	Wei Wang, Guanghui Cai, Junjuan Hu	A general threshold GARCH process with volatility asymmetry.	J. Intell. Fuzzy Syst.	2020	DBLP DOI BibTeX RDF
17	Panagiotis Xidonas, Mike G. Tsionas, Constantin Zopounidis	On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH.	Ann. Oper. Res.	2020	DBLP DOI BibTeX RDF
17	Joanna Bruzda	Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches.	Central Eur. J. Oper. Res.	2020	DBLP DOI BibTeX RDF
17	Roy Cerqueti, Massimiliano Giacalone, Raffaele Mattera	Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling.	Inf. Sci.	2020	DBLP DOI BibTeX RDF
17	Xiaomeng Ma, Ruixian Yang, Dong Zou, Rui Liu 0022	Measuring extreme risk of sustainable financial system using GJR-GARCH model trading data-based.	Int. J. Inf. Manag.	2020	DBLP DOI BibTeX RDF
17	Hoang Viet Long, Haifa Bin Jebreen, Ioannis Dassios, Dumitru Baleanu	On the Statistical GARCH Model for Managing the Risk by Employing a Fat-Tailed Distribution in Finance.	Symmetry	2020	DBLP DOI BibTeX RDF
17	Patrice Soh Takam, Eugene Kouassi, Renaud Fadonougbo, Jean Marcelin Bosson Brou, Mbodja Mougoué	Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations.	Commun. Stat. Simul. Comput.	2020	DBLP DOI BibTeX RDF
17	Davide De Gaetano	Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows.	Commun. Stat. Simul. Comput.	2020	DBLP DOI BibTeX RDF
17	Emrah Altun	A new approach to Value-at-Risk: GARCH-TSLx model with inference.	Commun. Stat. Simul. Comput.	2020	DBLP DOI BibTeX RDF
17	Wing Ki Liu, Mike K. P. So	A GARCH Model with Artificial Neural Networks.	Inf.	2020	DBLP DOI BibTeX RDF
17	Marius Lux, Wolfgang Karl Härdle, Stefan Lessmann	Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid.	Comput. Stat.	2020	DBLP DOI BibTeX RDF
17	Yimu Ji, Ye Wu, Dianchao Zhang, Yongge Yuan, Shangdong Liu, Roozbeh Zarei, Jing He 0004	A Novel Flash P2P Network Traffic Prediction Algorithm based on ELMD and Garch.	Int. J. Inf. Technol. Decis. Mak.	2020	DBLP DOI BibTeX RDF
17	Christophe Chorro, Rahantamialisoa H. Fanirisoa	Option valuation with IG-GARCH model and a U-shaped pricing kernel.	Soft Comput.	2020	DBLP DOI BibTeX RDF
17	Ling Xiao, Gurjeet Dhesi, Eduard Gabriel Ceptureanu, Kevin Lin, Claudiu Herteliu, Babar Syed, Sebastian Ion Ceptureanu	Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach.	Soft Comput.	2020	DBLP DOI BibTeX RDF
17	Jia Wang, MengChu Zhou, Xiu Jin, Xiwang Guo, Liang Qi, Xu Wang	Variance Minimization Hedging Analysis Based on a Time-Varying Markovian DCC-GARCH Model.	IEEE Trans Autom. Sci. Eng.	2020	DBLP DOI BibTeX RDF
17	Yefan Zhou, Jianxu Liu, Jirakom Sirisrisakulchai, Songsak Sriboonchitta	Measurements of the Conditional Dependence Structure Among Carbon, Fossil Energy and Renewable Energy Prices: Vine Copula Based GJR-GARCH Model.	IUKM	2020	DBLP DOI BibTeX RDF
17	Yonghong Zhong, Yadi Shang	Investigating Determinants of the CNY-CNH Exchange Rate Spread Using Extended GARCH Model.	ISCID	2020	DBLP DOI BibTeX RDF
17	Fredj Jawadi, Waël Louhichi, Abdoulkarim Idi Cheffou, Hachmi Ben Ameur	Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model.	Ann. Oper. Res.	2019	DBLP DOI BibTeX RDF
17	Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega	Closed-form variance swap prices under general affine GARCH models and their continuous-time limits.	Ann. Oper. Res.	2019	DBLP DOI BibTeX RDF
17	Billel Aliat, Fayçal Hamdi 0002	Probabilistic properties of a Markov-switching periodic GARCH process.	Kybernetika	2019	DBLP DOI BibTeX RDF
17	Philipp Otto	spGARCH: An R-Package for Spatial and Spatiotemporal ARCH and GARCH models.	R J.	2019	DBLP DOI BibTeX RDF
17	Christopher J. Adcock, Caiwei Ye, Shuxing Yin, Dalu Zhang	Price discovery and volatility spillover with price limits in Chinese A-shares market: A truncated GARCH approach.	J. Oper. Res. Soc.	2019	DBLP DOI BibTeX RDF
17	Qi Liu 0037, Guanlan Zhang, Shahzad Ali, Xiaopeng Wang, Guodong Wang 0001, Zhenkuan Pan 0001, Jiahua Zhang 0001	SPI-based drought simulation and prediction using ARMA-GARCH model.	Appl. Math. Comput.	2019	DBLP DOI BibTeX RDF
17	Paul Doukhan, Michael H. Neumann	Absolute regularity of semi-contractive GARCH-type processes.	J. Appl. Probab.	2019	DBLP DOI BibTeX RDF
17	Wenjun Pan, Huida Zhao, Lin Miu	An Empirical Study on Supply Chain Risk Contagion Effect Based on VAR-GARCH (1, 1)-BEKK Model.	Wirel. Pers. Commun.	2019	DBLP DOI BibTeX RDF
17	Ehsan Hajiramezanali, Seyyed Hamed Fouladi, Hamidreza Amindavar	A Novel Maneuvering Target Tracking Approach by Stochastic Volatility GARCH Model.	CoRR	2019	DBLP BibTeX RDF
17	Saeed Sharifian, Masoud Barati	An ensemble multiscale wavelet-GARCH hybrid SVR algorithm for mobile cloud computing workload prediction.	Int. J. Mach. Learn. Cybern.	2019	DBLP DOI BibTeX RDF
17	Ting-Cheng Chang, Hui Wang 0026, Suyi Yu	A GARCH model with modified grey prediction model for US stock return volatility.	J. Comput. Methods Sci. Eng.	2019	DBLP DOI BibTeX RDF
17	Ding Lei	GARCH model prediction method based on Hessian matrix dynamic programming deep neural network.	Clust. Comput.	2019	DBLP DOI BibTeX RDF
17	Petchaluck Boonyakunakorn, Pathairat Pastpipatkul, Songsak Sriboonchitta	Value at Risk of SET Returns Based on Bayesian Markov-Switching GARCH Approach.	Structural Changes and their Econometric Modeling	2019	DBLP DOI BibTeX RDF
17	Noppasit Chakpitak, Pichayakone Rakpho, Woraphon Yamaka	Markov Switching Constant Conditional Correlation GARCH Models for Hedging on Gold and Crude Oil.	Structural Changes and their Econometric Modeling	2019	DBLP DOI BibTeX RDF
17	Dovile Kuiziniene, Ausra Varoneckiene, Tomas Krilavicius	Cryptocurrencies short-term forecast: application of ARIMA, GARCH and SVR models.	IVUS	2019	DBLP BibTeX RDF
17	Huiming Zhang, Junzo Watada	Building Fuzzy Levy-GJR-GARCH American Option Pricing Model.	IUKM	2019	DBLP DOI BibTeX RDF
17	Kshitij Sharma, Zacharoula K. Papamitsiou, Michail N. Giannakos	Modelling Learners' Behaviour: A Novel Approach Using GARCH with Multimodal Data.	EC-TEL	2019	DBLP DOI BibTeX RDF
17	Ruofan Liao, Petchaluck Boonyakunakorn, Songsak Sriboonchitta	VaR of SSE returns Based on Bayesian Markov-Switching GARCH Approach.	ICBDT	2019	DBLP DOI BibTeX RDF
17	Tuotuo Qi, Tianmei Wang, Jianming Zhu, Ruyu Bai	Empirical Study on the Correlation and Volatility between Bitcoin and the Blockchain Index: Based on Granger causality test and GARCH-class model.	ICCSE	2019	DBLP DOI BibTeX RDF
17	Stamatis Papangelou, Sofia Papadaki	Digital Currencies: A Multivariate GARCH Approach.	MARBLE	2019	DBLP DOI BibTeX RDF
17	Pichayakone Rakpho, Woraphon Yamaka, Songsak Sriboonchitta	Markov Switching Dynamic Multivariate GARCH Models for Hedging on Foreign Exchange Market.	ECONVN	2019	DBLP DOI BibTeX RDF
17	Paksasrun Chitpattanapaibul, Desheng Wu	Study on stylized stock market volatility based on asymmetric GARCH model in the main area of BRI region.	CYBCONF	2019	DBLP DOI BibTeX RDF
17	Xuehang Yu, Ying Zhan	Stability Analysis of Chinese Stock Market Based on GARCH Model.	EBIMCS	2019	DBLP DOI BibTeX RDF
17	Werner Kristjanpoller, Marcel C. Minutolo	A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis.	Expert Syst. Appl.	2018	DBLP DOI BibTeX RDF
17	Ha Young Kim, Chang Hyun Won	Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models.	Expert Syst. Appl.	2018	DBLP DOI BibTeX RDF
17	Tomás Cipra, Radek Hendrych	Robust recursive estimation of GARCH models.	Kybernetika	2018	DBLP DOI BibTeX RDF
17	Junmo Song, Jiwon Kang	Parameter change tests for ARMA-GARCH models.	Comput. Stat. Data Anal.	2018	DBLP DOI BibTeX RDF
17	Yunjian Zhang, Hui Liu 0020, Yanan Huang, Zhenmiao Deng	A Nonlinear ARMA-GARCH Model With Johnson $S_u$ Innovations and Its Application to Sea Clutter Modeling.	IEEE Access	2018	DBLP DOI BibTeX RDF
17	Huiming Zhang, Junzo Watada	Fuzzy Levy-GJR-GARCH American Option Pricing Model Based on an Infinite Pure Jump Process.	IEICE Trans. Inf. Syst.	2018	DBLP DOI BibTeX RDF
17	Chuan Ding, Jinxiao Duan, Yanru Zhang, Xinkai Wu, Guizhen Yu	Using an ARIMA-GARCH Modeling Approach to Improve Subway Short-Term Ridership Forecasting Accounting for Dynamic Volatility.	IEEE Trans. Intell. Transp. Syst.	2018	DBLP DOI BibTeX RDF
17	Radek Hendrych, Tomás Cipra	Self-weighted recursive estimation of GARCH models.	Commun. Stat. Simul. Comput.	2018	DBLP DOI BibTeX RDF
17	Viviane Y. Naimy, Marianne R. Hayek	Modelling and predicting the Bitcoin volatility using GARCH models.	Int. J. Math. Model. Numer. Optimisation	2018	DBLP DOI BibTeX RDF
17	Balázs Csanád Csáji	Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models.	CoRR	2018	DBLP BibTeX RDF
17	Wei-Guo Zhang 0002, Guo-Li Mo, Fang Liu 0017, Yong-Jun Liu 0001	Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio.	Soft Comput.	2018	DBLP DOI BibTeX RDF
17	Werner Kristjanpoller, Kevin Michell Valencia	A stock market risk forecasting model through integration of switching regime, ANFIS and GARCH techniques.	Appl. Soft Comput.	2018	DBLP DOI BibTeX RDF
17	Zhe Lin	Modelling and forecasting the stock market volatility of SSE Composite Index using GARCH models.	Future Gener. Comput. Syst.	2018	DBLP DOI BibTeX RDF
17	Ruby K. Joseph, Geevarghese Titus, M. S. Sudhakar 0001	Effective EMG denoising using a hybrid model based on WAT and GARCH.	Biomed. Signal Process. Control.	2018	DBLP DOI BibTeX RDF
17	Chompunooch Thamanukornsri, Montip Tiensuwan	Applications of Box-Jenkins (Seasonal ARIMA) and GARCH models to dengue incidence in Thailand.	Model. Assist. Stat. Appl.	2018	DBLP DOI BibTeX RDF
17	Jingzhou Xin, Jianting Zhou, Simon X. Yang, Xiaoqing Li, Yu Wang 0124	Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model.	Sensors	2018	DBLP DOI BibTeX RDF
17	Haejune Oh, Sangyeol Lee	On score vector- and residual-based CUSUM tests in ARMA-GARCH models.	Stat. Methods Appl.	2018	DBLP DOI BibTeX RDF
17	Teerawut Teetranont, Somsak Chanaim, Woraphon Yamaka, Songsak Sriboonchitta	Investigating Relationship Between Gold Price and Crude Oil Price Using Interval Data with Copula Based GARCH.	Predictive Econometrics and Big Data	2018	DBLP DOI BibTeX RDF
17	Benchawanaree Chodchuangnirun, Woraphon Yamaka, Chatchai Khiewngamdee	A Regime Switching for Dynamic Conditional Correlation and GARCH: Application to Agricultural Commodity Prices and Market Risks.	IUKM	2018	DBLP DOI BibTeX RDF
17	Benchawanaree Chodchuangnirun, Kongliang Zhu, Woraphon Yamaka	Pairs Trading via Nonlinear Autoregressive GARCH Models.	IUKM	2018	DBLP DOI BibTeX RDF
17	Daniel Ambach, Oleksandra Ambach	Forecasting the Oil Price with a Periodic Regression ARFIMA-GARCH Process.	DSMP	2018	DBLP DOI BibTeX RDF
17	Shadi Sartipi, Mahrokh G. Shayesteh, Hashem Kalbkhani	Diagnosing of Autism Spectrum Disorder based on GARCH Variance Series for rs-fMRI data.	IST	2018	DBLP DOI BibTeX RDF
17	Nguyen Trung Hung, Nguyen Ngoc Thach, Le Hoang Anh	GARCH Models in Forecasting the Volatility of the World's Oil Prices.	ECONVN	2018	DBLP DOI BibTeX RDF