GARCH models with jumps
Consideration of the GARCH model with jumps. Model GARCH-Jump, supplemented by the intensity of the news, the obtained empirical results. Changes of the intensity of the jump with time, its linear dependence on the number of positive and negative news.
Подобные документы
Predicting realized volatility and value-at-risk for the most liquid Russian stocks using GARCH, ARFIMA and HAR models, using implied volatility calculated based on option prices and Google Trends data. Investigation of errors in model specification.
статья, добавлен 25.01.2021Build a model of diffusion of innovation, taking into account all promotional activities throughout the lifetime of an innovative product on the market. The analysis of the different advertising strategies of the intensity of advertising costs in time.
статья, добавлен 28.09.2016Early studies on technological growth. Data sources and description. Adjustment of time series: deflation, deseasoning. Methodology and econometric model. Micro-based models, industry-level models. Error correction model estimation, model diagnostics.
дипломная работа, добавлен 30.08.2016The comparison on the limited terrain of models of economic growth. Positive net investment is the passive result of an optimal allocation decision. Defining the rate of profit. A short-run technology, Cobb-Douglas relation. Classical saving function.
статья, добавлен 10.09.2012Analysis of existing models of job satisfaction and a new exogenous variable - regional tourism development. Revision of people's views on health and greater involvement in leisure. Identification of changes in the behavioral model of residents.
статья, добавлен 09.04.2022Definition small open economy model from the prospective of the households and the firms. Clarification the difference between the preliminary model and open economy model. Illustration the stationary state of the model and dynamic version of the model.
статья, добавлен 10.11.2015Evans's economic model for studying the establishment of an equilibrium price in the market of one product is considered. Graphs of the dependence of price on time are constructed. The price changes depending on the relationship between supply and demand.
статья, добавлен 04.12.2023Определение волатильности как статистического финансового показателя, характеризующего изменчивость цены актива. Проблемы учета серий случайных больших выбросов доходностей финансовых инструментов. Расчет волатильности с помощью классической GARCH-модели.
статья, добавлен 02.11.2018The unemployment rate, job vacancies. Deterministic model and characterization of equilibrium. Optimal vacancy-unemployment fluctuations. The stochastic process. Derivation of the wage equation. Results from simulating the dynamic stochastic model.
статья, добавлен 28.06.2013Directions of optimization of time resources of the investment project on an example of the project of construction of the integrated gas chemical complex in Kazakhstan. Analysis of a discrete-event (process) model implemented in the "Anylogic" system.
статья, добавлен 28.09.2016Currently, the Leontief model is used solely due to its analytical capabilities, and the reason for this is the presence of many methodological and informational difficulties. Karaganov's opinion on the main formulations of the V. Leontiev model.
статья, добавлен 08.02.2022Development of a simulation model for the functioning of road transport. Optimal planning of economic indicators of transport activity. Evaluation of the effectiveness of logistics, which allows you to manage the volume and study the model in dynamics.
статья, добавлен 09.03.2023Investigating changes in the monetary transmission mechanism. A stylized structural model of the U.S. economy. Robustness analysis of VAR results. Details on the structural model. Standard deviations of output, interest rate. Impulse response functions.
статья, добавлен 28.06.2013The detailed analysis of family gap in Russia. The Heckman selection model and the fixed effects model. Negative correlation of presence of children and mother’s earnings in Russia. Providing mothers with family services and other job amenities.
диссертация, добавлен 11.07.2016Features of using the amoeba model in the Chinese real estate industry: advantages and disadvantages of the company's development on the example of Zhongliang company management. Proposals for the application of the amoeba model in the enterprise.
статья, добавлен 28.09.2022Realistic, non-deductive model of the economy by T. Lawson, taking into account the ontological premises of science. A project for a complete reorientation of economic methodology. Marxist substantiation of deductivism and empirical realism in economics.
статья, добавлен 28.01.2022Cluster model in cross-border cooperation. Analysis of positive effects of a meso-level of international integration formations represented by network structures of intraindustrial and inter-industrial cooperation in a form of cross-border cluster system.
статья, добавлен 28.12.2017Analisis of the global experience of the electricity markets functioning. The monopolization and the deregulation of the electricity markets. The shift from model of "single buyer" to the model of bilateral contracts and balancing market in Ukraine.
статья, добавлен 14.09.2016Consideration of the essence analysis model of monetary policy. Familiarization with the econometric Inference. Example solutions of the canonical LRE Model. The essence of the a priori distribution. Features of propagation of shocks; robustness analysis.
научная работа, добавлен 28.06.2013The non-linear influence of intellectual capital (IC) on financial performance of firms from IC-intensive industries in the BRIC countries. Using Almon Distributed Lag Model. The impact of company’s life-cycle stage on IC benefits for firm’s performance.
дипломная работа, добавлен 27.09.2016Model based on fuzzy set theory as the most effective model of evaluation of innovative potential of enterprise, taking into account factors of uncertainty. The advantages of the model compared to the expert and statistical methods of evaluation.
статья, добавлен 28.09.2016Understanding of Corporate Social Responsibility: history, evolution. Corporate Social Responsibility reporting in Russia, in the Netherlands. Setting up model, developing the research hypotheses, methodology, research design. Building econometric model.
дипломная работа, добавлен 04.12.2019Scenarios for the development of a macroregion with the inclusion of a model block for the development of territorial production clusters. The ratio of GRP per capita in the regions of the Sayan Economic Center with the average Russian indicators.
статья, добавлен 08.04.2022Comparative study of two models of portfolio optimization: Brandt and Santa-Clara, Black-Litterman. Objective function and statistical inference in the Brandt and Santa-Clara model. The market equilibrium and investor’s views in the Black-Litterman model.
дипломная работа, добавлен 11.11.2015Analysis of agricultural sector of Uktaine. The necessity of improving the model of innovations funding in the agrarian sector of Ukraine with the account of globalization processes. The model constructed by the rule of "the golden sequence" is proposed.
статья, добавлен 28.09.2016