Results 211 to 220 of about 575,970 (287)

Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence From Markov‐Switching Multifractal Models

Journal of Forecasting, EarlyView.
ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu, Mawuli Segnon, Oguzhan Cepni, Rangan Gupta   +3 more
wiley   +1 more source

A KL-divergence-based test for elliptical distribution. [PDF]

J Nonparametr Stat
Tang Y, Ma Y, Li B.
europepmc   +1 more source

Evaluating Forecasts at Multiple Horizons: An Extension of the Diebold–Mariano Approach

Journal of Forecasting, EarlyView.
ABSTRACT Forecast accuracy tests are fundamental tools for comparing competing predictive models. The widely used Diebold–Mariano (DM) test assesses whether differences in forecast errors are statistically significant. However, its standard form is limited to pairwise comparisons at a single forecast horizon.
Andrew Grant, Matus Mrazik, Steve Satchell   +2 more
wiley   +1 more source

Existence and stability of time-fractional Keller-Segel-Navier-Stokes system with Poisson jumps. [PDF]

Sci Rep
Divyabala K, Durga N.
europepmc   +1 more source

Forecasting With Dynamic Factor Models Estimated by Partial Least Squares

Journal of Forecasting, EarlyView.
ABSTRACT Dynamic factor models (DFMs) have found great success in nowcasting and short‐term macroeconomic forecasting when incorporating large sets of predictive information. The factor loadings are typically estimated cross‐sectionally with principal component analysis (PCA) or maximum likelihood (ML), which ignore whether the factors have predictive ...
Samuel Rauhala
wiley   +1 more source

Friction-Induced Thermal Effects in an FGM Layer in Contact with a Homogeneous Layer. [PDF]

Materials (Basel)
Topczewska K.
europepmc   +1 more source

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, EarlyView.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source

On Shape Optimization with Large Magnetic Fields in Two Dimensions. [PDF]

J Geom Anal
Lotoreichik V, Morin L.
europepmc   +1 more source

Forecasting Natural Gas Futures Price Volatility of the United States: National Versus State‐Level Climate Concern Indexes

Journal of Futures Markets, EarlyView.
ABSTRACT This paper uses GARCH‐MIDAS to predict US natural gas futures volatility using national and state‐level Climate Concern Indexes (CCIs). We find that both national and state‐level CCIs positively affect price volatility. Notably, models using state‐level data—specifically those utilizing least‐squares (LS) weighting combinations—surpass the ...
Afees A. Salisu, Ahamuefula E. Ogbonna, Rangan Gupta, Onur Polat   +3 more
wiley   +1 more source

Nonparametric Tests for Exponentiality Against IFRA Alternatives Based on Cumulative Extropy Measures. [PDF]

Entropy (Basel)
Alqefari AA.
europepmc   +1 more source