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A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk [PDF]
Panoeconomicus, 2023 This study aims to analyze the volatility spillover between bond and commodity markets in terms of global liquidity risk. The data covers the daily closing prices of bond markets in specified countries - Brazil, Russia, India, China, and Turkey - and ...
Kirkpinar Ayşegül +1 more
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The Journal of Indonesia Sustainable Development Planning, 2022 The correlation between the capital market of G20 member countries is important to analyze. Depending on a country’s economy, capital market integration may have different effects. A more intense bilateral relationship (trade intensity) can significantly
Rahma Tri Benita
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Frontiers in Energy Research, 2023 With a high proportion of photovoltaic (PV) connected to the active distribution network (ADN), the correlation and uncertainty of the PV output will significantly affect the grid dispatching operation.
Xin Ma, Han Wu, Yue Yuan
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Entrepreneurial Business and Economics Review, 2020 Objective: The objective of this article is to study the correlations between the most important European insurers and their participation in systemic risk in the insurance sector. We compare systemic risk in different market regimes.
Anna Denkowska, Stanisław Wanat
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Ellipsoidal Prediction Regions for Multivariate Uncertainty Characterization [PDF]
, 2017 While substantial advances are observed in probabilistic forecasting for power system operation and electricity market applications, most approaches are still developed in a univariate framework.
Azizipanah-Abarghooee, Rasoul +3 more
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Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach [PDF]
Economies, 2021 This research investigated the performance of a dynamic portfolio that consists of sustainable/ethical stocks and gold. The main purpose of this study is to prove that the inclusion of gold in sustainable/ethical stocks portfolios could produce better performance.
Robiyanto Robiyanto +4 more
openaire +3 more sources
Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data [PDF]
, 2007 We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets.
Kocenda, Evûen, Égert, Balázs
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Sensitivity Analysis of Two-Step Multinomial Backtests for Evaluating Value-at-Risk [PDF]
تحقیقات مالی, 2022 Objective: Nowadays, the measurement of the risk of the marketplace has a significant effect on investments; however, the inadequate evaluation of this risk will cause a financial crisis and possible bankruptcy.
Mohamad Ali Rastegar, Mehdi Hemati
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Entropy, 2015 In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation.
Yingchao Zou, Lean Yu, Kaijian He
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Bitcoin ile Vadeli İşlemler Piyasası Arasındaki İlişkinin Analizi
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2022 Çalışmanın temel amacı bitcoin ile BIST30 vadeli, altın vadeli ve döviz vadeli işlemler piyasası arasındaki volatilite etkileşimini araştırmaktır. Bu doğrultuda 25.07.2010 – 13.02.2022 dönemine ait haftalık veriler kullanılmıştır.
Ethem Kılıç
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