NDLTD Global ETD Search
  • Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 1
  • Tagged with
  • 2
  • 2
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

Search results

Showing 1 to 2 of 2 (0.019 seconds)
1

Non-linear dependence of returns, volatility and trading volume in currency futures markets

Wan Mahmood, Wan Mansor January 1998 (has links)
No description available.
332
GARCH; ARCH
2

Mnohorozměrné modely zobecněné autoregresní podmíněné heteroskedasticity / Multivariate generalized autoregressive conditional heteroscedasticity models

Nováková, Martina January 2021 (has links)
This master thesis deals with extension of the univariate GARCH model to multivari- ate models. We present individual models and deal with methods of their estimation. Then we describe some statistical tests for diagnosting the models. We have programmed in the statistical software R one of them - the Ling-Li test. Afterwards we apply selected models to real data of stock market index S&P 500, stock market index Russell 2000 and stocks of crude oil. For the GO-GARCH model, we compare all available estimation methods and show their differences. Then we compare the results of all models with each other and also with univariate models in terms of estimates of conditional variances, estimates of conditional correlations and also in terms of computational complexity. 1

Page generated in 0.024 seconds