1,720,954 research outputs found
Peramalan Volatilitas Dengan Pemodelan Egarch, Tgarch, Dan Aparch Dalam Pengukuran Estimasi Risiko Saham Sektor Keuangan
No full textData finansial yang mengikuti deret waktu akan memiliki pergerakan yang selalu berubah disetiap waktunya. Pergerakan perubahan tersebut memiliki keragaman atau volatilitas yang setiap waktunya tidak konstan. Keadaan ini disebut sebagai heteroskedastisitas. Metode yang dapat menyelesaikan masalah tersebut adalah Autoregressive Conditional Heteroscedasticity (ARCH)/Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Namun, ARCH/GARCH tidak dapat mengatasi beberapa kasus seperti perbedaan dalam nilai volatilitas dimana return positif dan negatif memiliki pengaruh asimetris terhadap variannya yang disebut sebagai leverage effect. Oleh sebab itu, dilakukan pemodelan dengan mengakomodasi respon volatilitas yang memiliki sifat asimetris seperti Exponential GARCH (EGARCH), Threshold GARCH (TGARCH), atau Asymmetric Power ARCH (APARCH). Pemodelan dilakukan terhadap saham sektor keuangan yang memiliki volatilitas tinggi dan rendah untuk mengetahui model yang sesuai dan akurat. Dalam melakukan investasi, tentunya diperlukan manajemen risiko yang baik, hal tersebut dapat dilakukan dengan mengestimasi risiko menggunakan metode Value at Risk (VaR) dan Conditional Value at Risk (CVaR). Penelitian ini dilakukan untuk peramalan volatilitas serta estimasi risiko melalui pemodelan EGARCH, TGARCH, dan APARCH pada saham sektor keuangan dengan volatilitas tinggi dan rendah untuk periode 20 Januari 2014 – 30 Desember 2021. Hasil pemodelan menunjukkan jika tidak terdapat karakteristik tertentu yang membedakan pemodelan antara saham dengan volatilitas tinggi dan rendah. Namun, dapat dikatakan jika model TGARCH dan EGARCH adalah model yang terbaik dalam memodelkan sifat asimetris. Peramalan volatilitas untuk sepuluh hari kedepan menghasilkan kesimpulan jika saham dengan volatilitas tinggi setelah dilakukan peramalan dengan model yang sesuai memiliki volatilitas yang tinggi pula dan sebaliknya. Estimasi risiko Value at Risk (VaR) dan Conditional Value at Risk (VaR) berdasarkan model terbaik untuk tingkat kepercayaan 99%, 95%, dan 90% menghasilkan kesimpulan bahwa saham dengan volatilitas tinggi memiliki estimasi risiko yang tinggi pula dan sebaliknya. Didapatkan kesimpulan juga jika semakin tinggi tingkat kepercayaan maka akan semakin tinggi pula nilai VaR dan CVaR yang didapatkan
=====================================================================================================================================
Financial data that follows a time series will have movements that change every time. The movement of these changes has a variety or volatility that is not constant at any time. This condition is known as heteroscedasticity. The method that can solve this problem is Autoregressive Conditional Heteroscedasticity (ARCH)/Generalized Autoregressive Conditional Heteroscedasticity (GARCH). However, ARCH/GARCH can’t overcome some cases, such as differences in volatility values where positive and negative returns have an asymmetric effect on the variance, which is known as the leverage effect. Therefore, modeling is carried out by accommodating volatility responses that have asymmetric properties such as Exponential GARCH (EGARCH), Threshold GARCH (TGARCH), or Asymmetric Power ARCH (APARCH). Modeling is carried out on stocks of the financial sector that have high and low volatility to determine the appropriate and accurate model. In investing, of course, good risk management is needed, this can be done by estimating risk using the Value at Risk (VaR) and Conditional Value at Risk (CVaR) methods. This study was conducted to forecast volatility and estimate risk through EGARCH, TGARCH, and APARCH modeling on stocks of the financial sector with high and low volatility for the period from January 20, 2014 to December 30, 2021. The modeling results show that no certain characteristics that distinguish between modeling stock with high and low volatility. However, it can be said that the TGARCH and EGARCH models are the best in modeling asymmetric properties. Volatility forecasting for the next ten days concludes that stocks with high volatility after forecasting with the appropriate model have high volatility and vice versa. Value at Risk (VaR) and Conditional Value at Risk (VaR) estimates based on the best models for 99%, 95%, and 90% confidence levels result in the conclusion that stocks with high volatility have high risk estimates and vice versa. It can also be concluded that the higher the level of confidence, the higher the VaR and CVaR values obtaine
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
Author Under Sail The Imagination of Jack London, 1893-1902
No full textIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Intro -- Title Page -- Copyright Page -- Dedication -- Contents -- Acknowledgments -- Introduction -- 1. Spirit Truth -- 2. From Absorption to Theatricality and Back Again -- 3. "I Will Build a New Present" -- 4. Sons as Authors -- 5. Fathers as Publishers -- 6. The Daughter as Author -- 7. Lovers as Authors -- 8. At Sea with the Family -- 9. Yellow News, Yellow Stories -- 10. The Return Home -- Notes -- Bibliography -- Index -- About Jay WilliamsIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Description based on publisher supplied metadata and other sources.Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, YYYY. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
- …
