ABSTRACT: The global financial landscape is increasingly becoming interconnected, with financial markets exhibiting complex interdependencies. This increases the possibility of market risk spreading ...
ABSTRACT: The global financial landscape is increasingly becoming interconnected, with financial markets exhibiting complex interdependencies. This increases the possibility of market risk spreading ...
Abstract: In this paper, signal denoising using multiwavelet based on multivariate GARCH model is presented where the multivariate GARCH modeling captures in addition to the correlations among the ...
The chosen stocks are Tesla and Nvidia on the time frames 2011-01-01 to 2023-12-31. The implemented univariate models are GARCH(1,1) and t-GARCH(1,1) and the multivariate model implemented is ...
Department of Economics, FEARP - Faculty of Economics, Business Administration and Accounting at Ribeirão Preto, University of São Paulo, Ribeirão Preto, Brazil Introduction: Realized volatility ...
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 ...
This project focuses on developing a robust tool for risk management and strategy evaluation in the financial domain. The main objectives are to generate backtesting returns data to apply strategies ...
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