This study investigates advanced portfolio optimization techniques that integrate copula functions and GARCH models to enhance risk-adjusted performance in the European stock market. Traditional ...

Abstract: This paper presents a robust algorithm for voice activity detection (VAD) based on change point detection in a generalized autoregressive conditional heteroscedasticity (GARCH) process.

1 School of Sciences, Guangdong University of Petrochemical Technology, Maoming, China. 2 School of Quantitative Sciences, Universiti Utara Malaysia, Kedah, Malaysia. This study utilizes the Dynamic ...

The Tesla Model Y has been the most popular electric car for a few years now, and it makes sense. The Model Y is reasonably priced for an EV while offering a good range and an excellent software ...

Kambouroudis DS, McMillan D & Tsakou K (2016) Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models. Journal ...

Abstract: Data that house topological information is manifested as relationships between multiple variables via a graph formulation. Various methods have been developed for analyzing time series on ...

Traditional GARCH models fail to explain at least two of the stylized facts found in financial series: the asymmetry of the distribution of errors and the leverage effect. The leverage effect stems ...

MCMC algorithm is widely used in parameters' estimation of GARCH-type models. However, the existing algorithms are either not easy to implement or not fast to run. In this paper, Hamiltonian Monte ...