[go: up one dir, main page]
More Web Proxy on the site http://driver.im/

Shabani et al., 2017 - Google Patents

Comparing the performance of GARCH (p, q) models with different methods of estimation for forecasting crude oil market volatility

Shabani et al., 2017

View PDF
Document ID
9648147358444119051
Author
Shabani M
Gharneh N
Esfahanipour A
Publication year
Publication venue
Journal of Industrial and Systems Engineering

External Links

Snippet

The use of GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper the efficiency of six univariate GARCH models and two methods of estimation the parameters for forecasting oil price volatility are examined and the …
Continue reading at www.jise.ir (PDF) (other versions)

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management, e.g. organising, planning, scheduling or allocating time, human or machine resources; Enterprise planning; Organisational models
    • G06Q10/063—Operations research or analysis
    • G06Q10/0635—Risk analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management, e.g. organising, planning, scheduling or allocating time, human or machine resources; Enterprise planning; Organisational models
    • G06Q10/063—Operations research or analysis
    • G06Q10/0639—Performance analysis
    • G06Q10/06393—Score-carding, benchmarking or key performance indicator [KPI] analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
    • G06F17/10—Complex mathematical operations
    • G06F17/18—Complex mathematical operations for evaluating statistical data, e.g. average values, frequency distributions, probability functions, regression analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
    • G06F17/30—Information retrieval; Database structures therefor; File system structures therefor
    • G06F17/3061—Information retrieval; Database structures therefor; File system structures therefor of unstructured textual data
    • G06F17/30634—Querying
    • G06F17/30657—Query processing
    • G06F17/30675—Query execution
    • G06F17/3069—Query execution using vector based model
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce, e.g. shopping or e-commerce
    • G06Q30/02—Marketing, e.g. market research and analysis, surveying, promotions, advertising, buyer profiling, customer management or rewards; Price estimation or determination
    • G06Q30/0202—Market predictions or demand forecasting
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
    • G06F17/30—Information retrieval; Database structures therefor; File system structures therefor
    • G06F17/30286—Information retrieval; Database structures therefor; File system structures therefor in structured data stores
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance, e.g. risk analysis or pensions
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
    • G06F17/50—Computer-aided design
    • G06F17/5009—Computer-aided design using simulation
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06N—COMPUTER SYSTEMS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N99/00—Subject matter not provided for in other groups of this subclass
    • G06N99/005—Learning machines, i.e. computer in which a programme is changed according to experience gained by the machine itself during a complete run

Similar Documents

Publication Publication Date Title
Song et al. Short-term wind speed forecasting with Markov-switching model
Abad et al. A detailed comparison of value at risk estimates
Rossi et al. Long memory and tail dependence in trading volume and volatility
Jackson et al. Specification and estimation of Bayesian dynamic factor models: A Monte Carlo analysis with an application to global house price comovement
ElNozahy et al. A probabilistic load modelling approach using clustering algorithms
Zhu et al. Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method
Paraschiv et al. Extreme value theory for heavy tails in electricity prices
Ramya et al. Environment change prediction to adapt climate-smart agriculture using big data analytics
Shabani et al. Comparing the performance of GARCH (p, q) models with different methods of estimation for forecasting crude oil market volatility
Gupta et al. The role of oil and risk shocks in the high‐frequency movements of the term structure of interest rates: Evidence from the US Treasury market
Altun et al. Forecasting Value-at-Risk with two-step method: GARCH exponentiated odd log-logistic normal model
Ma et al. Probabilistic vulnerability assessment based on power flow and voltage distribution
Ma et al. A time-varying copula approach for describing seasonality in multivariate ocean data
Thapar et al. Predictive Analysis and Forecasting of S&P CNX NIFTY50 using Stochastic Models
Hasbullah et al. Operations Value-at-Risk to Estimate Maximum Claims of Potential House Fire Risk using the Portfolio Approach as an Information Supply Chain in Decision Making
Boye et al. Nonstationary Data Prediction Model Using Grey Time Series Method
Kurose et al. Bayesian analysis of time-varying quantiles using a smoothing spline
Sun et al. Research on Financial Risk Management Based on VaR
Ahadiat et al. Strategic decision-making on mining sector company stock prices and economic variable (state space model application)
Terzi et al. Research Article Risk Estimation in Exchange Rate Markets Based on Stochastic Copula Approach
Sampietro Bayesian analysis of mixture of autoregressive components with an application to financial market volatility
BATURE et al. Testing For Stationarity On Selected Linear And Non-Linear Time Series Models Of Different Orders
Asemota Kalman filter and structural change revisited: An application to foreign trade-economic growth nexus
توفيق Predicting the Egyptian Consumer Price Index in Covid-19 Pandemic using Weighted Markov Chain
Kartikasari Prediction of Outstanding Claims Liability in Non-Life Insurance: An Application of Adaptive Grey Model