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
Causality between inflation and inflation uncertainty in South Africa : evidence from a Markov-switching vector autoregressive model [PDF]
, 2015 This study investigates the asymmetric and time-varying causalities between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework.
Aye, Goodness Chioma +5 more
core +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
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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Modeling asymmetric volatility in the Chicago Board Options Exchange Volatility Index
, 2018 Empirical studies have shown that a large number of financial asset returns exhibit fat tails (leptokurtosis) and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the asymmetric GARCH-type models (TGARCH,
Ural, Mert, Demireli, Erhan
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Model Volatilitas Return Saham Syariah melalui Pendekatan Bayesian Msgarch dan Efek Perubahan secara Asimetris [PDF]
Pasar saham syariah Indonesia menunjukkan pertumbuhan signifikan, dengan peningkatan kapitalisasi sebesar 11,4% pada Februari 2023. Meskipun demikian, volatilitas yang tinggi tetap menjadi tantangan bagi investor.
Afnanda, Afridho
core +1 more source
Stock Market Volatility Analysis: A Case Study of TUNindex [PDF]
, 2020 Volatility is directly associated with risks and returns. This study aims to examine the volatility characteristics on Tunisian stock market index (5 days a weak TUNindex) that include clustering volatility, leptokurtosis, and leverage effect.
NEIFAR, MALIKA
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, 2018 Cette thèse présente quelques contributions à la modélisation des séries financières, notamment dans le développement d’extensions de modèles ainsi que le développement d’outils utiles à la validation de ceux-ci. Tous les résultats sont illustrés par des
Kadmiri, Othman
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