Results 51 to 60 of about 3,488 (262)

The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact

Journal of Futures Markets, EarlyView.
ABSTRACT This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings.
Marcos Escobar‐Anel, Lars Stentoft, Xize Ye   +2 more
wiley   +1 more source

A comparison of drought indices for crop yield loss detection: The role of green-up onset alignment and spatial resolutionMendeley data

Journal of Hydrology: Regional Studies
Study region: Central Plateau of Mexico Study focus: This study investigated the relationships between yield anomalies of rainfed crops and six drought indices: evaporative stress indices (ESIs) derived from the ALEXI, MOD16, and GLEAM evapotranspiration
Friso Holwerda, Diego Salazar-Martínez, Thomas R.H. Holmes, Christopher R. Hain, Martha C. Anderson   +4 more
doaj   +1 more source

Month of the year effect in the cryptocurrency market and portfolio management

European Journal of Management Issues, 2019
Purpose – to investigate the Month of the year effect in the cryptocurrency market. Design/Method/Research Approach. A number of parametric and non-parametric technics are used, including average analysis, Student's t-test, ANOVA, Kruskal-Wallis ...
Alex Plastun, Anna Oleksandrivna Drofa, Tetyana Viktorivna Klyushnik   +2 more
doaj   +1 more source

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

International 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

Global crop calendars of maize and wheat in the framework of the WorldCereal project

GIScience & Remote Sensing, 2022
Crop calendars provide valuable information on the timing of important stages of crop development such as the planting or Start of Season (SOS) and harvesting dates or End of Season (EOS).
Belén Franch, Juanma Cintas, Inbal Becker-Reshef, María José Sanchez-Torres, Javier Roger, Sergii Skakun, José Antonio Sobrino, Kristof Van Tricht, Jeroen Degerickx, Sven Gilliams, Benjamin Koetz, Zoltan Szantoi, Alyssa Whitcraft   +12 more
doaj   +1 more source

REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES

Buletin Ekonomi Moneter dan Perbankan, 2019
We use a GARCH-dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for BRICS countries’ stock markets during 1996 to 2018. The month-of-the-year (MOY), turn-of-the-month (TOM), day-of-the-week (DOW), and holiday effects are investigated. The most striking DOW effect is given for Tuesdays.
Niklas Wagner, Kimberly Weber, Harald Kinateder   +2 more
openaire   +2 more sources

Large Datasets for the Euro Area and Its Member Countries and the Dynamic Effects of the Common Monetary Policy

Journal of Applied Econometrics, EarlyView.
ABSTRACT We introduce EA‐MD‐QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA‐MD‐QD has been updated monthly and continuously revised, providing a valuable resource for policy analysis in the EA ...
Matteo Barigozzi, Claudio Lissona, Lorenzo Tonni   +2 more
wiley   +1 more source

Evaluating Reference Evapotranspiration (ETo) Calculation Methods and Quantifying Climate‐Driven Change in Irrigation Demand Across Nepal's Terai

International Journal of Climatology, EarlyView.
Framework illustrating the comparison of different reference evapotranspiration (ETo) estimation methods and the integration of baseline ETo, crop water requirement (CWR), and irrigation water requirement (IWR) calculations with downscaled CMIP6 climate projections under SSP245 and SSP585 scenarios for the mid‐century and late‐century periods across ...
Umesh Kumar Sujakhu, Rajesh Khatakho, Naresh Suwal, Ayush Poudel   +3 more
wiley   +1 more source

The Impacts of Southwest Indian Ocean Tropical Cyclones on Transient Weather in Réunion

International Journal of Climatology, EarlyView.
Tropical cyclones which make passage near Réunion can have significant impacts on transient weather relative to long‐term means on the island. In this paper, these impacts were determined by a topological analysis of non‐landfalling tropical cyclones. The relationship between storm intensity, distance, duration, and seasonality plays an equal role in ...
Alexi M. Marinaki, Jennifer M. Fitchett
wiley   +1 more source

An experimental seasonal hydrological forecasting system over the Yellow River basin – Part 2: The added value from climate forecast models [PDF]

Hydrology and Earth System Sciences, 2016
This is the second paper of a two-part series on introducing an experimental seasonal hydrological forecasting system over the Yellow River basin in northern China. While the natural hydrological predictability in terms of initial hydrological conditions 
X. Yuan
doaj   +1 more source