Results 61 to 70 of about 3,903 (204)
Portfolio optimization with mixture vector autoregressive models
, 2020 Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as ...
Boshnakov, Georgi N., Ravagli, Davide
core
Journal of Economic Surveys, Volume 40, Issue 1, Page 443-468, February 2026.ABSTRACT Cryptocurrency markets are known for their wide price fluctuations, lack of central control, and fast‐paced development. These characteristics present serious challenges to traditional theories about how markets work and how prices reflect available information.
Giulia Fantini, Joy Jia, Chiara Oldani
wiley +1 more source
Connectedness Analysis And Investment Strategy Between Stablecoins And International Stock Indices
Jurnal ManajemenThis research analyzes the dynamic connectedness between fiat-based stablecoins represented by USDC, USDP, and USDT, and gold-based stablecoins represented by DGX and GLC with indices international stocks represented by S&P500, STOXX50, Nikkei225 ...
Ika Maradjabessy, Zaafri Ananto Husodo
doaj +1 more source
Revista de Economia e Sociologia Rural, 2019 Resumo Trabalhos recentes têm mostrado uma falta de integração entre o mercado do produtor e o varejo na cadeia produtiva da carne suína. Uma solução para amenizar esse entrave poderia ser feito por meio da estratégia de hedge dinâmico com o modelo Garch-
Jovani Patias +4 more
doaj +1 more source
Agricultural Economics, Volume 57, Issue 1, January 2026.ABSTRACT Recent global shocks have triggered sharp spikes in international food and fertilizer prices, raising concerns about their domestic impacts. This study examines the extent to which international price levels and volatility are transmitted to domestic food and fertilizer markets in seven Central American countries.
Manuel A. Hernandez +5 more
wiley +1 more source
Volume and volatility adjusted l-var with dcc-garch modeling
, 2020 Sabit spread, endojen ve eksojen spread teknikleri; Riske Maruz Likidite Değeri'ni (L-VaR) elde etmek için kullanılan bid-ask spread ile birlikte piyasa risk sonuçlarını belirler. Ancak likitide riskin bu geleneksel yöntemleri 2008 krizinden sonra L-VaR tahmin eksikliklerinden dolayı eleştirilmiştir.
openaire +2 more sources
Przegląd Statystyczny, 2015 The article seeks to investigate the issue of interdependence that during crisis periods in the capital markets is of particular importance due to the likelihood of causing a crisis in the real economy. The research objective of the article is to identify this interdependence in volatility.
Faldzinski, Marcin +1 more
openaire +2 more sources
Bilevel Network Modeling and Risk Transmission in Heterogeneous Financial Data
Complexity, Volume 2026, Issue 1, 2026.This study constructs a bilevel network model based on heterogeneous financial data to explore the complex network characteristics and risk transmission mechanisms in the stock market. Using the trading data and textual sentiment data of Shanghai Stock Exchange (SSE) 50 constituent stocks over the past 5 years, a daily return network model and a ...
Suhang Wang +3 more
wiley +1 more source
A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets
Entrepreneurial Business and Economics Review, 2018 Objective: In this article, we try to determine whether there are contagion effects across the Greek stock market and the Belgian, French, Portuguese, Irish, Italian and Spanish stock markets during both crises periods.
Mohamed Ali Trabelsi, Salma Hmida
doaj +1 more source