Results 121 to 130 of about 8,872 (261)

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

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

Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines the relationship between skewness and kurtosis in Bitcoin spot and futures markets using high‐frequency data. We document a strong convex skewness–kurtosis relationship consistent with theoretical moment restrictions. Trading activity is positively associated with realized kurtosis, particularly in futures markets, though ...
Ariston Karagiorgis, Antonis Ballis
wiley   +1 more source

Asymptotic Normality Through Factorial Cumulants and Partition Identities. [PDF]

Comb Probab Comput, 2013
Bobecka K, Hitczenko P, López-Blázquez F, Rempała G, Wesołowski J.   +4 more
europepmc   +1 more source

The Energy Dilemma: Does Energy Security Risk and Renewable Energy Affect Fossil Material Footprint? Policy Framework for Securing SDGs

Geological Journal, EarlyView.
Energy security risk has a positive impact on material footprint. Renewable energy consumption reduces material footprint. ABSTRACT Following a high economic growth path, the group of G7 economies is found to be utilising more and more material, causing a material footprint (MF), which in turn contributes to pollution.
Serhat Çamkaya, Faiza Saleem, Afshan Hamid, Magdalena Radulescu, Ahsan Anwar   +4 more
wiley   +1 more source

Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data. [PDF]

PLoS One, 2015
Mancino ME, Recchioni MC.
europepmc   +1 more source

Operating Capacity, Pricing and Supply Elasticity in Container Shipping Markets

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate the channels through which changes in operating capacity influence freight rates in the container shipping market using a novel dataset to create an operating capacity index at the shipping‐route level. Our analysis reveals that when supply elasticity is low, an increase in operating capacity tends to drive freight rates upward,
Cong Sui, Shang Wang, Jingmin Liang, Nikos K. Nomikos   +3 more
wiley   +1 more source

Interplay Between Green Investment and Market Price Premia in Global Shipping

International Journal of Finance &Economics, EarlyView.
ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi, Nikos C. Papapostolou, Malvina Marchese, Ioannis C. Moutzouris, Angelos Efstathiou   +4 more
wiley   +1 more source

Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations

International Journal of Finance &Economics, EarlyView.
ABSTRACT We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes episodes of severe stress, such as the Global Financial Crisis, the COVID‐19 pandemic, and the Ukrainian War.
Reinhold Heinlein, Gabriella D. Legrenzi, Scott M. R. Mahadeo   +2 more
wiley   +1 more source

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source