1,727,775 research outputs found
Symmetric Normal Mixture GARCH
No full textNormal mixture (NM) GARCH models are better able to account for leptokurtosis in financial data and offer a more intuitive and tractable framework for risk analysis and option pricing than student’s t-GARCH models. We present a general, symmetric parameterisation for NM-GARCH(1,1) models, derive the analytic derivatives for the maximum likelihood estimation of the model parameters and their standard errors and compute the moments of the error term. Also, we formulate specific conditions on the model parameters to ensure positive, finite conditional and unconditional second and fourth moments. Simulations quantify the potential bias and inefficiency of parameter estimates as a function of the mixing law. We show that there is a serious bias on parameter estimates for volatility components having very low weight in the mixing law. An empirical application uses moment specification tests and information criteria to determine the optimal number of normal densities in the mixture. For daily returns on three US Dollar foreign exchange rates (British pound, euro and Japanese yen) we find that, whilst normal GARCH(1,1) models fail the moment tests, a simple mixture of two normal densities is sufficient to capture the conditional excess kurtosis in the data. According to our chosen criteria, and given our simulation results, we conclude that a two regime symmetric NM-GARCH model, which quantifies volatility corresponding to ‘normal’ and ‘exceptional’ market circumstances, is optimal for these exchange rate data.Volatility regimes, conditional excess kurtosis, normal mixture, heavy trails, exchange rates, conditional heteroscedasticity, GARCH models.
Bordy, Emese M (Prof)
No full textDepartment of Geology (2001-2011) Emese Bordy ORCID 0000-0003-4699-0823 </a
Adam, Christopher, Tibor Egervari, Leslie Laczko, Judy Young, Eds. The 1956 Hungarian Revolution – Hungarian & Canadian Perspectives
No full textReviewed by Emese Iva
A betegség- az élő létlehetősége : prolegoména az emberi betegség filozófiájához : (részletes angol nyelvű összefoglalóval)
No full textA betegség- az élő létlehetősége : prolegoména az emberi betegség filozófiájához : (részletes angol nyelvű összefoglóval) / Király V. István ; [angol fordítás:] Emese G. Czintos. - Pozsony : Kalligram, 2011. - 200 p. ; 21 c
Emese Hallgató's Quick Files
No full textThe Quick Files feature was discontinued and it’s files were migrated into this Project on March 11, 2022. The file URL’s will still resolve properly, and the Quick Files logs are available in the Project’s Recent Activity
Question d’ateliers étude des retables polyptiques transylvains, envisagés comme expression des relations artistiques entre les peuples saxon et sicul | Workshop matters. Artistic relations between Saxons and Székelys in the mirror of Transylvanian altarpieces
No full textEmese Sarkadi Nagy observe la frontière entre les pays sicules et saxons, cherchant les filiations artistiques entre les principaux ateliers et les artistes locaux. Dépassant la seule question artistique, elle place son étude dans le contexte intellectuel, économique et politique de la Transylvanie aux XVe et XVIe siècles.
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Emese Sarkadi Nagy studies the interaction between the Székely and the Saxon territories at the beginning of the 16th century. She analyses artistic relations and influences and the circumstances of the workshops in the region in which altars were made. In addition to examining art, she reflects on the intellectual, economical and political context of Transylvania in the 15th and the 16th centuries
Emese Hallgató's Quick Files
No full textThe Quick Files feature was discontinued and it’s files were migrated into this Project on March 11, 2022. The file URL’s will still resolve properly, and the Quick Files logs are available in the Project’s Recent Activity
Emese Hallgató's Quick Files
No full textThe Quick Files feature was discontinued and it’s files were migrated into this Project on March 11, 2022. The file URL’s will still resolve properly, and the Quick Files logs are available in the Project’s Recent Activity
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