Discrete Dynamics in Nature and Society, Volume 2019, Issue 1, 2019., 2019 This article aims to investigate the Value at Risk of basis for stock index futures hedging in China. Since the RS‐GARCH model can effectively describe the state transition of variance in VaR and the two‐state Markov process can significantly reduce the dimension, this paper constructs the parameter and semiparametric RS‐GARCH models based on two‐state
Liang Wang +4 more
wiley +1 more source
Low‐Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants
Mathematical Problems in Engineering, Volume 2015, Issue 1, 2015., 2015 We extract low‐ and high‐frequency volatility from China’s Shanghai gold futures market using an asymmetric Spline‐GARCH (ASP‐GARCH) model. We then regress monthly low‐frequency volatility on selected monthly macroeconomic indicators to study the impact of macroeconomy on gold futures market and to test for excess volatility.
Song Liu +4 more
wiley +1 more source
بررسی تأثیر تکانه¬های نرخ ارز غیررسمی ایران بر نا اطمینانی اسمی آن: رهیافت حافظه بلند بودن نرخ ارز غیر رسمی [PDF]
Quarterly Journal of Applied Theories of Economics, 2013 در این مطالعه، با استفاده از دادههای ماهیانه نرخ ارز غیررسمی طی دوره زمانی 1359- 1388، به بررسی حافظه بلند بودن نرخ ارز غیررسمی ایران و تأثیر تکانه های نرخ ارز بر نا اطمینانی اسمی آن پرداخته شده است.
علیرضا عرفانی +1 more
doaj
Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models
مجله اقتصاد و توسعه کشاورزی, 2016 Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major
Z. Rasouli Birami +3 more
doaj
The prediction of fluctuation in the order-driven financial market. [PDF]
PLoS One, 2021 Shi F +5 more
europepmc +1 more source
A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches. [PDF]
Comput Econ, 2022 Aminimehr A +3 more
europepmc +1 more source
Dynamic connectedness between green energy and carbon risk during Russia-Ukraine conflict: new evidence from a wavelet analysis. [PDF]
Environ Sci Pollut Res Int, 2023 Ha LT.
europepmc +1 more source
The predictive capacity of GARCH-type models in measuring the volatility of crypto and world currencies. [PDF]
PLoS One, 2021 Naimy V +3 more
europepmc +1 more source
The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach. [PDF]
Resour Policy, 2022 Alqaralleh H, Canepa A.
europepmc +1 more source
Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies. [PDF]
Glob Financ J, 2022 Tiwari AK +3 more
europepmc +1 more source