Results 221 to 230 of about 45,179 (311)

Alternative Data for Realised Volatility Forecasting: Limit Order Book and News Stories

open access: yesInternational Journal of Finance &Economics, EarlyView.
ABSTRACT We examine whether two major alternative data sources, limit order book information and firm‐specific news, provide incremental predictive information for daily realised volatility forecasting within the HAR‐family, using a parsimonious framework to ensure practical implementation and comparability. The framework is designed for practical real‐
Eghbal Rahimikia, Ser‐Huang Poon
wiley   +1 more source

Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets

open access: yesInternational Journal of Finance &Economics, EarlyView.
ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris   +2 more
wiley   +1 more source

Stock Price Deviations From Fundamentals Levels: Mis‐Valuation due to Investor Overconfidence?

open access: yesInternational Journal of Finance &Economics, EarlyView.
ABSTRACT We use the Residual Income Valuation Model to obtain fundamental values for sample stocks in six Eurozone markets. We then estimate the deviation between the fundamental values and actual stock prices. Subsequently, we examine whether these deviations can be systematically explained by business cycle trends, trends in local economic sentiment,
Stella N. Spilioti   +1 more
wiley   +1 more source

Modeling the Nexus Between Climate Risk, Energy Consumption, and Financial Market Performance in Emerging Countries

open access: yesInternational Studies of Economics, EarlyView.
Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley   +1 more source

On the Evolution of the Stock Market Efficiency: Evidence From Emerging Markets

open access: yesInternational Studies of Economics, EarlyView.
ABSTRACT The study of market efficiency is one of the most covered topics in the field of financial markets, with the Efficient Market Hypothesis gathering devotees as well as several critics. The perception of markets as agents with an adaptive nature gave rise to the Adaptive Market Hypothesis (AMH).
Júlio Lobão, Luís Pacheco, Nuno Cruz
wiley   +1 more source

Tensor language model enables generative scheduling for efficient tensor compilation. [PDF]

open access: yesSci Rep
Mehmood S   +7 more
europepmc   +1 more source

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