Results 121 to 130 of about 7,709 (301)

Predicting EU Emissions Allowance Prices Using Macroeconomic Indicators and Hybrid AI Models

Journal of Forecasting, EarlyView.
ABSTRACT Predicting carbon allowance prices has grown more crucial in relation to carbon market regulation, financial strategy, and environmental policy development. This study examines a hybrid forecasting system that combines deep learning with ensemble machine learning models to forecast the price fluctuations of EU Emissions Allowance (EUAs) within
Saptarshi Ganguly, Pooja Sengupta, Divya Aggarwal   +2 more
wiley   +1 more source

Testing for vector autoregressive dynamics under heteroskedasticity

In this paper we introduce a bootstrap procedure to test parameterrestrictions in vector autoregressive models which is robust incases of conditionally heteroskedastic error terms.
Hafner, C.M., Herwartz, H.
core  

Augoregressive Conditional Kurtosis [PDF]

This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the
Simon P. Burke, Chris Brooks, Gita Persand   +2 more
core  

Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model

Journal of Forecasting, EarlyView.
ABSTRACT This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) model for analyzing the daily price ranges of financial assets. The proposed formulation assumes that the conditional expected range switches between two regimes, representing upward and downward market states, with the disturbance distribution also allowed ...
Isuru Ratnayake, V. A. Samaranayake
wiley   +1 more source

Conditional Heteroskedasticity of Return Range Processes

, 2015
Price range contains important information about the asset volatility, and has long been considered an important indicator for it. In this paper, we propose to jointly model the [low, high] price range as a random interval and introduce an interval-valued GARCH (Int-GARCH) model for the corresponding [low, high] return range process.
Sun, Yan, Loveland, Jennifer, Blackhurst, Isaac   +2 more
openaire   +2 more sources

Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines the relationship between skewness and kurtosis in Bitcoin spot and futures markets using high‐frequency data. We document a strong convex skewness–kurtosis relationship consistent with theoretical moment restrictions. Trading activity is positively associated with realized kurtosis, particularly in futures markets, though ...
Ariston Karagiorgis, Antonis Ballis
wiley   +1 more source

Advancing Environmental Sustainability Through Wind Energy, Green Technology, and Fintech: A Quantile Perspective From Germany's Low‐Carbon Transition

Geological Journal, EarlyView.
The current study examines the role of Fintech, wind energy, and green technology in determining environmental suitability in Germany from 2000 to 2024. The study employs time series econometric methods to estimate the QQR and QR techniques. The positive effects of wind production, FinTech, Natural Resources and green technology on environmental ...
Hind Alofaysan, Kamel Si Mohammed
wiley   +1 more source

Modeling Heteroskedasticity of Crop Yield Distributions: Implications for Normality

The paper analyzes the extent to which ignorance of heteroskedasticity or its inadequate modeling would result in misleading statistical inferences about crop yield distribution.
Kapiamba, Luabeya F.
core  

Interplay Between Green Investment and Market Price Premia in Global Shipping

International Journal of Finance &Economics, EarlyView.
ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi, Nikos C. Papapostolou, Malvina Marchese, Ioannis C. Moutzouris, Angelos Efstathiou   +4 more
wiley   +1 more source

Volatility spillovers from BRIC currencies to the South African Rand: insights from dynamic conditional correlation-GARCH and wavelet coherence analysis

Cogent Business & Management
South Africa joined the BRICS bloc in 2010 and has since deepened its financial and trade ties with Brazil, Russia, India and China. This growing integration has raised concerns about the Rand’s exposure and vulnerability to BRIC financial markets.
Thobekile Qabhobho, Izunna Anyikwa, Andrew Phiri   +2 more
doaj   +1 more source