This paper provides empirical support for the notion that Autoregressive Conditional Heteroskedasticity (ARCH) in daily stock return data reflects time dependence in the process generating information ...

This paper proposes a semiparametric approach by introducing a smooth scale function into the standard generalized autoregressive conditional heteroskedastic (GARCH) model so that conditional ...

It significantly impacts risk management, trading strategies, and monetary policy formulation. Traditional finance models, such as Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized ...

Scenario forecasting methods have been widely studied in recent years to cope with the wind power uncertainty problem. The main difficulty of this problem is to accurately and comprehensively reflect ...

Monetary policy has an impact on our daily lives. This post explores the ripple effects of the ECB's recent monetary policy on housing affordability ...