Results 31 to 40 of about 1,495 (237)
Cogent Economics & Finance, 2021 This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean.
Daiki Maki, Yasushi Ota
doaj +1 more source
Examination of Weekend Effect and Caparison of Individual and Legal Investor's Behavior During 1381-85 in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2010 In this article using Autoregressive (AR), Autoregressive conditional heteroskedasticity (ARCH), Generalized autoregressive conditional heteroskedasticity (GARCH) Models we assess the weekend effect and also compare the trading patterns of individual and
Gholam Reza Eslami Bidgoli +1 more
doaj
The Generalized STAR Modeling with Heteroscedastic Effects
Cauchy: Jurnal Matematika Murni dan Aplikasi, 2022 In general, the Generalized Space Time Autoregressive (GSTAR) model of space-time assumes constant error variance. In this study, a GSTAR model was built with an error variance that was not constant or had a heteroscedasticity effect, namely the ...
Utriweni Mukhaiyar, Syahri Ramadhani
doaj +1 more source
Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility
International Journal of Financial Studies, 2018 This study investigates the impact of commodity price volatility (including soft commodities, precious metals, industrial metals, and energy) on the dynamics of corporate sukuk returns.
Nader Naifar
doaj +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT Investors have long recognized the importance of firms in promoting sustainability, leading to the rise of socially responsible investment (SRI). Specifically, there is a growing preference for exchange‐traded funds (ETFs) that prioritize environmental, social, and governance (ESG) principles.
Sandra Tenorio‐Salgueiro +3 more
wiley +1 more source
Discussing energy volatility and policy in the aftermath of the Russia–Ukraine conflict
Frontiers in Environmental Science, 2023 The ongoing Russo–Ukrainian War has highly affected energy markets in the EU and worldwide, with different EU- and country-level emergency policy measures being advanced to tackle high energy prices.
Adrian-Gabriel Enescu +1 more
doaj +1 more source
Forecasting Carbon Prices: A Literature Review
Journal of Forecasting, EarlyView.ABSTRACT Carbon emissions trading is utilized by a growing number of states as a significant tool for addressing greenhouse gas emissions (GHG), global warming problem and the climate crisis. Accurate forecasting of carbon prices is essential for effective policy design and investment strategies in climate change mitigation.
Konstantinos Bisiotis +2 more
wiley +1 more source
Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?
Frontiers in Public Health, 2021 The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures.
Yinpeng Zhang, Panpan Zhu, Yingying Xu
doaj +1 more source
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis [PDF]
Journal of Empirical Finance, 2001 Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(1) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under stylized facts of stock returns, i.e.
Hafner, Christian M., Herwartz, Helmut
openaire +4 more sources
Journal of Forecasting, EarlyView.ABSTRACT Accurate predictions of carbon prices are essential for efficient administration and stable operation of carbon markets. Previous studies have mostly focused on point or interval predictions based on point‐valued data. These approaches insufficiently capture the full extent of market volatility.
Di Sha +4 more
wiley +1 more source