Results 51 to 60 of about 25,094 (140)

Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?

Journal of Futures Markets, Volume 45, Issue 6, Page 612-636, June 2025.
ABSTRACT In this paper, we investigate alternative one‐factor and two‐factor continuous‐time models with both affine and non‐affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non‐affine feature and the multi‐factor ...
Yifan Ye, Zheqi Fan, Xinfeng Ruan
wiley   +1 more source

AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICY UNDER ERROR-TERM NON-NORMALITY [PDF]

This paper explores the impact of error-term non-normality on the performance of the normal-error Generalized Autoregressive Conditional Heteroskedastic (GARCH) model under small and moderate sample sizes.
Ramirez, Octavio A.
core   +1 more source

Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets

Journal of Futures Markets, Volume 45, Issue 6, Page 659-682, June 2025.
ABSTRACT This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions.
Hongjun Zeng, Mohammad Zoynul Abedin, Abdullahi D. Ahmed, Brian Lucey   +3 more
wiley   +1 more source

A General Framework for Observation Driven Time-Varying Parameter Models [PDF]

We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for
Andre Lucas, Drew Creal, Siem Jan Koopman   +2 more
core  

Modelling Economic Policy Uncertainty—Examining the Effects of Oil Prices, Global and Domestic Economic Policy Uncertainty on Firm Stability in Nigeria

African Development Review, Volume 37, Issue 2, June 2025.
ABSTRACT The article explored the effects of economic policy uncertainty (EPU) on firm stability in Nigeria. The article makes three contributions to the literature. First, the article examined the impact of global EPU on firm stability. Second, it examined the effects of domestic EPU on firm stability, given the vulnerable nature of the Nigerian ...
Olajide O. Oyadeyi
wiley   +1 more source

Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

, 2016
We propose a new class of models specifically tailored for spatio-temporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and heteroskedastic disturbances, i.e.
An, Anselin, Anselin, Anselin, Arbia, Arnold, Asgharian, Baltagi, Bao, Billé, Blasques, Blasques, Bollerslev, Creal, Creal, De Lira Salvatierra, Eder, Elhorst, Elhorst, Elton, Engle, Engle, Engle, Fernandez, Getis, Hafner, Harvey, Harvey, Hays, Hsu, Jondeau, Jorion, Kelejian, Kelejian, Kelejian, Koopman, Lee, Lee, Lee, Lee, LeSage, LeSage, Markowitz, McNeil, Ord, Qu, Timmermann, Tse, Welch   +48 more
core   +1 more source

Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes

Oxford Bulletin of Economics and Statistics, Volume 87, Issue 3, Page 659-689, June 2025.
Abstract We address the issue of testing for threshold nonlinearity in the conditional mean in the presence of conditional heteroskedasticity. We propose a supremum Lagrange multiplier approach to test a linear ARMA‐GARCH model versus a TARMA‐GARCH model.
Francesco Angelini, Massimiliano Castellani, Simone Giannerini, Greta Goracci   +3 more
wiley   +1 more source

Modelling and forecasting exchange-rate volatility with ARCH-type models [PDF]

The statistical analysis of short-run exchange-rate data shows that there is strong heteroskedasticity and serial dependence of volatility. In addition, the empirical distributions are leptokurtic.
Kaehler, Jürgen
core  

Target zones and conditional volatility: the role of realignments [PDF]

This paper examines the relationship between the conditional volatility of target zone exchange rates and realignments of the system. To investigate this question, modified jump diffusion Generalized Autoregressive Conditional Heteroskedasticity (GARCH ...
Christopher J. Neely
core  

Introduction to prediction in classical time series models (in Russian) [PDF]

This essay discusses basic notions of time series prediction and states traditional approaches to prediction in classical Box-Jenkins models, vector autoregressions, and autoregressive models with conditional heteroskedasticity.
Alexander Tsyplakov
core