Results 61 to 70 of about 291,653 (252)

Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model

Journal of Forecasting, EarlyView.
ABSTRACT This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model, we consider six variations of the model with different bandwidths and smoothing variables and ...
Wen Xu, Pakorn Aschakulporn, Jin E. Zhang   +2 more
wiley   +1 more source

Stock Return Prediction Based on a Functional Capital Asset Pricing Model

Journal of Forecasting, EarlyView.
ABSTRACT The capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high‐frequency setting by proposing a functional CAPM estimation approach.
Ufuk Beyaztas, Kaiying Ji, Han Lin Shang, Eliza Wu   +3 more
wiley   +1 more source

Matrix GARCH Model: Inference and Application [PDF]

arXiv, 2023
Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in economic and financial data. To address this gap, we propose a novel matrix generalized autoregressive conditional heteroskedasticity (GARCH) model to capture the dynamics of ...
arxiv  

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

Journal of Futures Markets, EarlyView.
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

Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

Journal of Agricultural and Resource Economics, 2003
Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish.
Cumhur Buguk, Darren Hudson, Terrill R. Hanson   +2 more
doaj   +1 more source

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

Journal of Futures Markets, EarlyView.
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

Connectedness Structure and Volatility Dynamics Between BRICS Markets and International Volatility Indices: An Investigation

International Journal of Finance &Economics, EarlyView.
ABSTRACT This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during ...
Halilibrahim Gökgöz, Salha Ben Salem, Azza Bejaoui, Ahmed Jeribi   +3 more
wiley   +1 more source

Forecasting Digital Asset Return: An Application of Machine Learning Model

International Journal of Finance &Economics, EarlyView.
ABSTRACT In this study, we aim to identify the machine learning model that can overcome the limitations of traditional statistical modelling techniques in forecasting Bitcoin prices. Also, we outline the necessary conditions that make the model suitable.
Vito Ciciretti, Alberto Pallotta, Suman Lodh, P. K. Senyo, Monomita Nandy   +4 more
wiley   +1 more source

Long Memory Analysis: An Empirical Investigation

International Journal of Economics and Financial Issues, 2014
This study is an attempt to review the theory and applications of autoregressive fractionally integrated moving average (ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for the ...
Rafik Nazarian, Esmaeil Naderi, Nadiya Gandali Alikhani, Ashkan Amiri   +3 more
doaj  

Information Flows, Stock Market Volatility and the Systemic Risk in Global Finance

International Journal of Finance &Economics, EarlyView.
ABSTRACT Information flows are a theoretical explanation for stock market volatility, but controversy remains regarding how to measure them. Based on cross‐sectional and temporal properties of information flows, we decompose total trading volume into four types: cross‐country shocks and country‐specific shocks due to arrivals of private information ...
Yen‐Hsiao Chen, Jiang Wu, Richard McManus, Yang Liu   +3 more
wiley   +1 more source