Results 201 to 210 of about 2,522,407 (291)

A New Implementation of Network GARCH Model for Stock Volatility and Co‐Volatility Forecasting

open access: yesJournal of Forecasting, EarlyView.
ABSTRACT Volatility clustering and spillovers are key features of financial time series with many cross‐sectional assets. While network analysis links similar or correlated stocks and helps trace volatility spillovers, contemporary multivariate ARCH‐GARCH formulations struggle to represent structured network dependence and remain parsimonious.
Peiyi Zhou
wiley   +1 more source

Forecasting Duration in High‐Frequency Financial Data Using a Self‐Exciting Flexible Residual Point Process

open access: yesJournal of Forecasting, EarlyView.
ABSTRACT This paper presents a method for forecasting limit order book durations using a self‐exciting flexible residual point process. High‐frequency events in modern exchanges exhibit heavy‐tailed interarrival times, posing a significant challenge for accurate prediction.
Kyungsub Lee
wiley   +1 more source

Shape of Yield Curves Under Instrument‐Based Parallel Shifts

open access: yesJournal of Futures Markets, EarlyView.
ABSTRACT This paper studies the shape of zero and par yield curves through the carry and convexity of zero‐bond and par–swap butterflies under instrument‐based parallel shifts: the component instruments are held fixed, and each instrument's own quote receives the same additive shock.
Jian Sun
wiley   +1 more source

Revisiting the Relationship Between Job Insecurity and Work Engagement: The Moderating Roles of Contract Type and Trait Negative Affectivity

open access: yesHuman Resource Development Quarterly, EarlyView.
ABSTRACT This study proposes and tests a curvilinear effect of job insecurity on work engagement, while also examining the moderating roles of employment contract type (permanent vs. temporary) and trait negative affectivity on this relationship. Utilizing two waves of time‐lagged data from a sample of 397 participants (273 permanent and 124 temporary ...
Hui‐Hsien Hsieh, Kuo‐Yang Kao
wiley   +1 more source

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