Weak exogeneity in the financial point processes [PDF]
, 2013 This paper analyses issues related to weak exogeneity in a financial point process. We extend the Hausman test of weak exogeneity in a time series model and propose three cases in which weak exogeneity conditions will break down.
Xu, Yongdeng
core
Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies [PDF]
This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models.
Hammoudeh, S.M., McAleer, M.J., Yuan, Y.
core +10 more sources
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
Modelling time varying volatility spillovers and conditional correlations across commodity metal futures [PDF]
, 2018 This paper examines how the most prevalent stochastic properties of key metal futures returns have been affected by the recent financial crisis using both mapped and unmapped data.
Karanasos, Menelaos +3 more
core +1 more source
Modeling and explaining the dynamics of European Union allowance prices at high-frequency [PDF]
In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence.
Conrad, Christian +2 more
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Alternative Approaches for Estimating Value at Risk [PDF]
In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan ...
Mert Ural
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Forecasting gold prices by using artificial neural network and an application [PDF]
, 2016 Bu çalışmada altın fiyatlarını yapay sinir ağları ile öngörmek amacıyla, altın fiyatlarını etkileyebileceği düşünülen değişkenler olan Gümüş fiyatları, Brent Petrol fiyatları, ABD doları/ EUR paritesi, EuroNext100 endeksi, Amerika Dow Jones Endeksi, 13 ...
Akkoç, Soner, Yüksel, Rıdvan
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Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies [PDF]
This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system.
Hammoudeh, S.M. +3 more
core +7 more sources
Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall [PDF]
, 2012 Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises ...
Cremers, Heinz +2 more
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Parametric inference and forecasting in continuously invertible volatility models [PDF]
We introduce the notion of continuously invertible volatility models that relies on some Lyapunov condition and some regularity condition. We show that it is almost equivalent to the volatilities forecasting efficiency of the parametric inference approach
Cai, Sixiang, Wintenberger, Olivier
core +1 more source