Results 61 to 70 of about 1,495 (237)
Predicting Financial Market Volatility with Modern Model and Traditional Model
Финансы: теория и практикаThe major topic investigates how classical methods (ARCH and GARCH) and well-known machine learning algorithms, support vector regression, and hybrid methods.
R. G. Aldeki
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Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
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International Journal of Management and EconomicsThis study makes a comparative assessment of the relation between four waves of the COVID-19 pandemic and the stock market in Poland. We utilize the Autoregressive Moving Average-Asymmetric Dynamic Conditional Correlation-Generalized Autoregressive ...
Dzik-Walczak Aneta, Gaweł Anna
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VOLATILITY ANALYSIS AND INFLATION PREDICTION IN PANGKALPINANG USING ARCH GARCH MODEL
BarekengOne of the concerns of both developed and developing countries, as well as in a region, is the amount of inflation that occurs. Inflation is a serious problem.
Desy Yuliana Dalimunthe +4 more
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Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach
Business Systems Research, 2016 Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology
Škrinjarić Tihana, Šego Boško
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Estimation of Daily Smoking Prevalence for Disaggregated Statistical Areas in Australia
Australian &New Zealand Journal of Statistics, EarlyView.ABSTRACT Motivated by the need to estimate prevalence at multiple disaggregated level hierarchies, rather than only one, this study extends widely used area‐level models in Bayesian and frequentist framework. We propose adding additional unstructured random effects at higher level disaggregated domains to the traditional models. Using our extension, we
Sumonkanti Das +4 more
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Idiosyncratic asset return and wage risk of US households
Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
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Economic Inquiry, EarlyView.Abstract We build an endogenous growth model that distinguishes productive and welfare government expenditures and embeds fiscal externalities. The model yields three testable hypotheses: (i) productive expenditure raises growth (Barro effect); (ii) productive expenditure generates cross‐country productivity spillovers; (iii) government expenditure ...
Xiaodong Chen, Haoming Mi, Peng Zhou
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European Financial Management, EarlyView.ABSTRACT Climate change introduces new challenges for businesses which require them to find ways to be resilient. Green innovations contribute to boost Environmental, Social, and Governance (ESG)‐readiness leading to just transition without optimization.
Noman Arshed +4 more
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The impact of the COVID-19 pandemic and the Russian invasion of Ukraine on Gold markets
Business, Management and Economics EngineeringPurpose – The study examines global Gold market performance and correlations between COVID-19, the Russian invasion, inflation, investors’ fear, asymmetric shocks, and the VIX (volatility index) impact on volatility.
Fisnik Morina +3 more
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