Sentence examples for dynamic volatility from inspiring English sources
Finally we consider that in a future work new RMBDs could be implement to time series with weakly-shrinkage priors for the observation and state variances as is the case of generalized autoregressive conditional heteroscedasticity (GARCH) models for dynamic volatility approaches in finance.
The first objective is to examine the dynamic volatility and volatility transmission in a multivariate setting using the VAR(1)–GARCH(1,1) model for three major sectors, namely, Service, Banking and Industrial/or Insurance, in four Gulf Cooperation Council (GCC)'s economies (Kuwait, Qatar, Saudi Arabia and UAE).
From a frequentist perspective the study of time series with structural changes has been of far reaching in econometric theory for univariate time series, frequentist dynamic models, volatility and even financial return models.
Mishra et al. (2007) empirically investigated the volatility dynamic effects between the two markets with reference to India.
See also Nutz and Soner (2012) for a study of dynamic risk measures under volatility uncertainty and their connection to G-expectations.
For the purpose of the determining whether the number of deaths' volatility dynamics does actually differ from that of the countries, we, firstly, undertakes to expose the exact local Whittle and structural break tests, and, then, discuss the GARCH specifications so as to be able to capture the possible conditional dynamic dependencies likely to be noted in the number of death return volatilities.
In this work, we introduce two multivariate volatility models, standardized dynamic conditional correlation, and standardized exponentially weighted moving average, both of which are built upon the framework of dynamic conditional correlation and exponentially weighted moving average models, respectively.
Kanamura (2016) investigated the volatility structure and dynamic linkage between two carbon prices and found energy price had stronger effect on EUA prices than sCER prices using a mean-reverting log normal process for energy prices.
What's more, variances of the output rotate speed and torque are calculated which can reflect the volatility of the dynamic characteristics and greatly affect the lifetime of the power system.
The adjustable-length (not rate) mortgage is how dynamic Hong Kong has handled house-price volatility.
Our investment problem, which includes the portfolio in the drift and volatility terms of the dynamic systems, makes the problem including multi-dimensional financial assets more realistic and meaningful.
