Results 71 to 80 of about 2,588 (267)

Evaluating Forecasts at Multiple Horizons: An Extension of the Diebold–Mariano Approach

Journal of Forecasting, EarlyView.
ABSTRACT Forecast accuracy tests are fundamental tools for comparing competing predictive models. The widely used Diebold–Mariano (DM) test assesses whether differences in forecast errors are statistically significant. However, its standard form is limited to pairwise comparisons at a single forecast horizon.
Andrew Grant, Matus Mrazik, Steve Satchell   +2 more
wiley   +1 more source

The Role of Price‐Volatility Cojumps in Volatility Forecasting

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley   +1 more source

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
doaj   +1 more source

Why Do Hedgers Hedge? The Role of Ambiguity

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley   +1 more source

Dynamics and co-movements between the COVID-19 outbreak and Polish stock market: A dynamic conditional correlation modeling and wavelet coherence analysis

International Journal of Management and Economics
This 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
doaj   +1 more source

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, EarlyView.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source

VOLATILITY PERSISTENCE AND ASYMMETRIC SHOCKS IN THE NIGERIAN STOCK MARKET INDEX [PDF]

Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
This study examines the dynamic volatility of the Nigerian Stock Exchange All-Share Index (NGSEINDEX) daily log returns from October 28, 2015, to October 28, 2025, to provide a statistically sound basis for risk assessment in this critical emerging ...
AMAN SHREEVASTAVA , SHAHIL RAZA, BHARAT KUMAR MEHER, RAMONA BIRAU , VIRGIL POPESCU , GABRIELA ANA MARIA LUPU (FILIP) , ROXANA-MIHAELA NIOATA (CHIREAC) , STEFAN MARGARITESCU , CRISTINA SULTĂNOIU (PĂTULARU)   +8 more
doaj  

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

Econometrics, 2014
A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity.
Jochen Krause, Marc S. Paolella
doaj   +1 more source

A new frontier for studying within-person variability: Bayesian multivariate generalized autoregressive conditional heteroskedasticity models. [PDF]

Psychol Methods, 2022
Rast P, Martin SR, Liu S, Williams DR.
europepmc   +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