Results 1 to 10 of about 47 (38)
Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns [PDF]
The Scientific World Journal, 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes.
Melike Bildirici, Özgür Ersin
doaj +3 more sources
Examination of information release on return volatility: A market and sectoral analysis [PDF]
Heliyon, 2020 This paper examines the role of information release in explaining the return volatility of the Australian equity market. The study applies proxies of greater accuracy to examine the effect of public and private information on return volatility.
Mason Prasad +2 more
exaly +4 more sources
Mathematics, 2023 Prediction of the economy in global markets is of crucial importance for individuals, decisionmakers, and policies. To this end, effectiveness in modeling and forecasting the directions of such leading indicators is of crucial importance.
Melike BİLDİRİCİ +2 more
exaly +3 more sources
Hybrid deep learning and GARCH-family models for forecasting volatility of cryptocurrencies
Machine Learning With Applications, 2023 The combination of Deep Learning and GARCH-type models has been proved to be superior to the single models in forecasting of volatility in various markets such as energy, main metals, and especially stock markets.
Salim Lahmiri
exaly +3 more sources
COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact? [PDF]
Finance Research Letters, 2020 Khurram Shehzad, Liu Xiaoxing
exaly +2 more sources
Business Strategy and the Environment, Volume 32, Issue 8, Page 5821-5832, December 2023., 2023 Abstract This paper assesses how environmental, social, and governance (ESG) news influence Portuguese stock market volatility depending on the business cycle. Given the lack of an adequate index to capture the effects of ESG media on the Portuguese stock market, a News Sentiment Index is developed.
Cássio Zanatto +3 more
wiley +1 more source
Can black swans be tamed with a flexible mean‐variance specification?
International Journal of Finance &Economics, Volume 27, Issue 3, Page 3202-3227, July 2022., 2022 Abstract We examine the homogeneity of the highly improbable returns, what practitioners and the mainstream economic press also call black swan events. By setting up a simple framework and using the benchmark stock market indices of all OECD countries, we find that the frequency of black swans varies greatly over the last two decades often with ...
Vasiliki Chatzikonstanti +1 more
wiley +1 more source
Attention‐based novel neural network for mixed frequency data
CAAI Transactions on Intelligence Technology, Volume 6, Issue 3, Page 301-311, September 2021., 2021 Abstract It is a common fact that data (features, characteristics or variables) are collected at different sampling frequencies in some fields such as economic and industry. The existing methods usually either ignore the difference from the different sampling frequencies or hardly take notice of the inherent temporal characteristics in mixed frequency ...
Xiangpeng Li +3 more
wiley +1 more source
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2019 Bu çalışmada, Borsa İstanbul (BIST) Mali (XUMAL)ve Sınai (XUSIN) Endekslerinin 07.01.2007-03.02.2019 dönemine ilişkin haftalıklogaritmik getirileri ele alınarak volatilite tahminlemesi yapılmasıamaçlanmıştır.
İlhan Ege, Tuğba Nur Topaloğlu
doaj +1 more source
GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS
Sosyal Ekonomik Araştırmalar Dergisi, 2009 Uygulamalı çalışmalar finansal varlık getirilerinin şişman kuyruk (leptokurtosis) özelliği sergilediklerini ve genellikle oynaklık kümelenmesi ve asimetrik yapı ile nitelendirildiklerini göstermiştir.
Mert Ural
doaj +4 more sources